UCITS Alternative Index Drops 1.5%, Clings to 0.64% YTD Gain

Aug 26 2015 | 2:02pm ET

The UCITS Alternative Index Blue Chip, which tracks the performance of the largest and most representative absolute return UCITS funds, fell 1.5% in the week ending August 25, according to new data from Switzerland-based index provider Hedgeanalytics AG. 

The results reflect the extraordinary volatility in global markets since the last update of the index, and bring the month-to-date and year-to-date performance of the index to -1.23% and 0.64%, respectively. 

In terms of strategy, only two of the twelve strategy-specific UAIX indices were positive for the period. The UAIX Equity Market Neutral index, perhaps as expected, was essentially flat at 0.01%, while the UAIX Fixed Income – Developed Markets earned 0.03%. 

Otherwise, it was a fairly rough week. Hit hardest were the UAIX Event-driven index, which lost a whopping -4.98%, and the UAIX Emerging Markets index, which lost -4.04%. These two strategies are now both negative for the year-to-date, down -6.76% and 0.83% respectively. Event-driven has lost -6.65% this month alone, according to Hedgeanalytics. 

Other notable losses include UAIX Macro, down -3.62% in the period, Multi-Strat, down -2.46%, and Long/Short Equity, down -1.93%. Much better off, at least from a relative perspective, were UIAX Volatility, down -0.04%, and CTAs, down -0.07%.

For the year to date, the UAIX CTA index is now in the lead, up 3.93%, followed by the UAIX Equity Market Neutral index, up 2.63%. Commodities, Event-driven, Emerging Markets, and Macro UAIX indices are now down -6.99%, -6.76% -0.83%, and -2.08%. 

Until last week, Macro UCITS were in the lead in terms of YTD returns, as tracked by Hedgeananalytics. Losses in the most recent reporting period wiped out the sub-index’s year-to-date gains.

The UAIX Alternative Index series benchmarks the UCITS absolute return funds universe, tracking the performance of both global and strategy-specific UCITS absolute return funds.

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