There has been a steep decline in the Relative Value Index going into the second half of October, possibly caused by the effects of quantitative easing. Our index covers a range of arbitrage strategies, including equity market neutral, statistical arbitrage, and volatility and credit arbitrage.
This month we have included returns from all funds on the database, daily, weekly and fortnightly dealing, so readers have a complete picture of the performance of the universe we are currently tracking. Bear in mind also that more funds have been added, expanding the database over the last few weeks, and the performance of new additions has been included for the October figures only (performance of the indices prior to that is now ‘set in stone’).
As we continue to populate the UCITS Hedge database, we will be launching further strategy indices. We expect to publish more as our underlying database of funds reaches the point where other strategy indices become meaningful. A fuller index methodology is published on our website and provides further detail on fund inclusion and index calculation.
The four strategy indices reported here represent the bulk 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.
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 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.
The indices have a ‘live’ date of 1st January 2010, although performance as published here is to the end of October. Subscribers to our database will receive index performance data as part of their subscription package, and they are also available via our demo account facility.
To register your fund in the UCITS Hedge database, or to arrange a demo account if you are interested in subscribing, please email Stuart Fieldhouse at stuart.fieldhouse@ucitshedgefunds.com
