HFRU Composite Index Gains +0.44% Through Mid-September

Sep 22 2017 | 7:38pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, has gained +0.44% so far in mid-September, according to a flash update from Hedge Fund Research. 

The result is on par with the results seen in broader hedge fund universe for the first half of the month, as HFR’s HFRX Global Hedge Fund Index is up +0.45%. The HFRU index, which is now up +3.48% year-to-date, reports an additional day in mid-month updates. 

Three of four sub-indexes within the HFRU sub-family were in the green as of September 20: 

  • The HFRU Equity Hedge Index posted a gain of +0.72% through mid-September with gains in Emerging Markets strategies, with concentration in China and Brazil, and mixed performance from European equities. 
  • The HFRU Relative Value Arbitrage Index was up +0.62% for the period from gains in Global Credit and Convertible strategies while Volatility managers had mixed performance for the period. 
  • The HFRU Event Driven was basically unchanged as performance was mixed across Merger Arbitrage, Global Special Situations equity and Distressed/Restructuring strategies. 
  • The HFRU Macro Index posted a decline of -0.23% through mid-September as declines in systematic trend-following, commodity and currency strategies were only partially offset by mixed performance of 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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