HFRU Composite Down -0.43% in November as UCITS Underperform

Dec 6 2016 | 12:31am ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, significantly underperformed the wider hedge fund universe in November with a -0.43% decline, according to an update from Hedge Fund Research.

HFR’s hedge fund benchmark, the HFRX Global Hedge Fund Index, gained 0.87% for the same period, the company said. 

Three of the family’s euro-denominated sub-measures were in the red for the month, hampered by a more muted response to the U.S. election on global equity markets and looming political developments in Austria and Italy that have kept pressure on the euro. 

  • On the positive side, the HFRU Event Driven Index posted a gain of +0.45% for November, driven by exposure to Global Merger Arbitrage and Special Situations strategies as U.S. equity markets surged, while European and Asian markets were mixed and Latin American markets declined for the month. 
  • The HFRU Equity Hedge Index, on the other hand, fell -0.33% due to declines in exposure to Emerging Markets, with concentration in Latin America, Turkey and China, which were only partially offset by gains in exposure to U.S., Japan, Technology and Global Healthcare equities. 
  • The HFRU Relative Value Arbitrage Index posted a decline of -0.41% for the month, as Global Credit and Emerging Market strategies experienced losses which were partially offset by gains in Volatility managers, HFR said.
  • The HFRU Macro Index dropped the sharpest, losing -0.84% in November. Declines in systematic trend-following managers and Commodity-focused strategies were only partially offset by mixed performance of Discretionary Fixed Income and Currency managers.

For the year to date, the HFRU Hedge Fund Composite Index is down 0.15%. The HFRU Relative Value Arbitrage Index is up the most, ahead 1.61% YTD, while the HFRU Macro Index remains down the most, at -1.39% so far this year.

Established in 1992, HFR is a global leader in specializing in the indexation and analysis of hedge funds. The company produces the HFRI, HFRX and HFRU Indices, industry benchmarks for global hedge fund performance, and calculates over 100 indices ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.

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