UCITS Alternative Index Gains Again, Up 0.26% on Further CTA, Macro Strength

Oct 28 2015 | 5:56pm ET

The UCITS Alternative Index Blue Chip, which tracks the performance of the largest and most representative absolute return UCITS funds, added 0.26% in the week through October 28, according to new data from Switzerland-based index provider Hedgeanalytics AG.

The gain brought October’s performance to 0.37% and the measure’s YTD gain to 0.82%.

Only two of the twelve sub-indices tracked by Hedgeanalytics were down for the period. The UAIX Event Driven index fell a further -1.87%, extending a very difficult period for the strategy class, while the UAIX Volatility Index dropped by -0.22%.

On the positive side, CTAs continued to outperform, with the UAIX CTA Index gaining 1.15% in the week and now only 0.57% away from going positive for the year. They were followed closely by a 0.94% gain in UAIX Macro. Even the long-suffering UAIX Commodities and UAIX Emerging Market indices were green for the week, up 0.64% and 0.48%, respectively.

The UAIX Event Driven index continues to lead the losers on a year-to-date basis, now down -10.82%, followed by -6.75% in Commodities. Emerging Markets, however, pulled into the green for 2015 with last week’s gain, and are now up 1.5%. Macro UCITS funds, meanwhile, narrowed their YTD losses to -2.57%.

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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