HFRU Composite Index Gains +0.71% Through Mid-October

Oct 20 2017 | 9:49pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, is up +0.71% through mid-October, according to a flash update from Hedge Fund Research. 

The result outperforms the broader hedge fund universe for the period, as HFR’s HFRX Global Hedge Fund Index was up +0.43% through October 16.  The HFRU index reports an additional day in mid-month updates and is now up +3.52% for the year to date.

All four of the index family’s substrategy measures were positive in period, HFR noted in a statement. Highlights:

The HFRU Macro Index posted a gain of +0.88% through mid-October from gains in systematic trend-following strategies partially offset by declines in currency and volatility managers and by mixed performance of Global Discretionary managers. 

The HFRU Equity Hedge Index posted a gain of +0.86% through mid-October with gains in Asia, with concentration in Japan and China, and the financial sector only partially offset by declines from exposure to Brazil strategies. 

The HFRU Relative Value Arbitrage Index posted a gain of +0.27% through mid-October from gains in Convertible and European Yield Alternatives – Real Estate strategies while Global Credit and Volatility managers had mixed performance for the period. 

The HFRU Event Driven posted a gain of +0.03% through mid-October from gains in Global Special Situations equity and Distressed/Restructuring strategies while Merger Arbitrage managers had mixed performance. 

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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