All our indices are composed of UCITS III compliant hedge funds that are currently reporting to our database. The dominant strategies in the universe are Long/Short Equity and Macro, although we are also now publishing a master index, the UCITS Hedge Index, that incorporates the performance of all the funds in the database, apart from absolute return funds. We publish both equal and asset weighted versions of each strategy index electronically for our database subscribers. In the hard copy editions of The Hedge Fund Journal we are using equal weighted indices.
Going forward, we will be providing weekly performance updates on our website, www.ucitshedgefunds.com and subscribers to our database will receive index performance data as part of their subscription package. The indices have a ‘live’ date of 1 January 2010, although performance as published here is to the end of September 2010. It reflects an interesting nine months in markets, and amongst hedge fund strategies in general.
Of the five strategies published so far, only Macro Systematic is currently experiencing a losing year, and even then is showing signs of recovery. Funds with a macro discretionary approach seem to be the best performers of the year. All the strategies tracked here had a tough time in May, and all have been improving over August and September.
Macro Systematic seems to be exhibiting the most volatility for the year to the end of September, with the biggest monthly loss (down 2.08% in May) and the largest monthly gain (up 2.59% in September). Still, the performance of the average fund tracked by the UCITS Hedge Database, assuming figures were available from 1 January, is in positive territory. Long/short equity funds are still making up ground from losses sustained early in the summer, but on current performance should be past that in October.
Readers need to bear in mind that these are preliminary figures for September: due to publishing deadlines we have only included funds with daily dealing as opposed to those with weekly prices. Daily funds still comprise over 80% of the total database, so expect the final September figures to be close to those published.
The four strategy indices reported here represent 68% of the total universe of funds in the database, while the master index tracks all those funds with hedge fund characteristics as defined by our methodology.
In addition, we are also tracking a growing number of absolute return UCITS funds (i.e. with no benchmark index but also no active management of the short book) as part of our data gathering activities, although we will not be publishing an index using this data until the universe becomes more comprehensive.
To register your fund in the UCITS Hedge Database or to arrange a demonstration please email Stuart Fieldhouse at stuart.fieldhouse@ucitshedgefunds.com
