HFRU Composite Index Gains +0.30% Through Mid-June On Equity Strength

Jun 22 2017 | 6:35pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, is up +0.30% so far in mid-June, according to a flash update from Hedge Fund Research. 

The result is ahead of the broader hedge fund universe for the first half of the month, as HFR’s HFRX Global Hedge Fund Index is up only +0.19%. The HFRU index, which is now up +2.81% year-to-date, reports an additional day in mid-month updates. 

All four of the HFRU family of sub-indexes were in the green as of June 19: 

  • The HFRU Equity Hedge Index is up +0.43% through mid-June from positive exposure to Asia, with concentration in China and Japan, which was partially offset by exposure to Global and Russian equities. 
  • The HFRU Event Driven Index is up +0.28% from gains in Global Special Situations equity, Distressed/Restructuring managers and Merger Arbitrage strategies, despite global equity markets posting mixed performance for the period. 
  • The HFRU Relative Value Arbitrage Index posted a gain of +0.21% through mid-June from gains in Global Credit, European Yield Alternative – Real Estate and Convertible strategies, which have been partially offset by declines in Volatility managers. 
  • The HFRU Macro Index is up +0.10% from gains in systematic trend-following strategies and Global Discretionary managers, partially offset by exposure to Volatility, Commodity and Currency strategies. 

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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