HFRU Composite Index Down -0.34% In June On Macro Drop

Jul 6 2017 | 7:36pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, lost -0.34% in June after gaining exactly the same amount in May, according to Hedge Fund Research.

Through the first half of the year, the measure is up 2.16%.

The results underperformed the broader hedge fund universe for both periods, as HFR’s HFRX Global Hedge Fund Index gained +0.21% in June and +2.56% for the first half. The HFRU index reports an additional day in mid-month updates. 

Three of the HFRU family’s substrategy indexes were in the red for the month, HFR noted in a statement. Key details:

  • The HFRU Event Driven Index posted a gain of +0.40% in June from gains in Global Special Situations equity, Distressed/Restructuring managers and Merger Arbitrage strategies as global equity markets posted mixed performance for the period. 
  • The HFRU Equity Hedge Index fell -0.10% for the month as gains in exposure to Global Healthcare and Asia, with concentration in China and Japan, were offset by exposure to European equities. 
  • The HFRU Relative Value Arbitrage Index posted declined -0.25% in June from mixed performance in Global Credit and Convertible strategies and declines in Volatility managers. 
  • The HFRU Macro Index fell sharply, losing -1.11% in June as declines in systematic trend-following and Volatility strategies were only partially offset by exposure to Global Discretionary managers. 

Created in 2008, the HFRU indices are Euro-denominated performance benchmarks comprised of hedge funds compliant with established UCITS guidelines. Rebalanced quarterly, the index is comprised of all eligible hedge fund strategies, including but not limited to equity hedge, event driven, macro, and relative value arbitrage, that meet certain criteria include UCITS compliance, net performance reporting, at least biweekly NAV reporting, and at least €10 million of assets under management or 6 months of track record. 

The HFRU Hedge Fund Composite Index is designed to be representative of the overall composition of the UCITS-compliant hedge fund universe. Currency-hedged versions of the HFRU family are also available.

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