HFRU Composite Index Gains 0.48% in September As Equity Strength Continues

Oct 5 2017 | 6:57pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, gained +0.48% in September, according to Hedge Fund Research. 

The result slightly underperformed the broader hedge fund universe for the period, as HFR’s HFRX Global Hedge Fund Index gained +0.60%. The HFRU index reports an additional day in mid-month updates and is now up +3.52% for the year to date.

The family’s substrategy indexes were split for the month, HFR noted in a statement, with two up, one flat and one down. Key details:

  • The HFRU Equity Hedge Index posted a gain of +0.93% for September with gains in Europe, Japan and Emerging Asia strategies while exposure to other Emerging Markets had mixed performance. 
  • The HFRU Relative Value Arbitrage Index rose +0.69% in the month from gains in Convertible strategies while Global Credit and Volatility managers had mixed performance. 
  • The HFRU Event Driven was basically unchanged for September as performance was mixed across Merger Arbitrage, Global Special Situations equity and Distressed/Restructuring strategies. 
  • The HFRU Macro Index posted a decline of -0.55% for September as dips in systematic trend-following, volatility 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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