Admittedly there are other indices not currently being published, growing in size and importance within the UCITS universe as more funds are added to them. But the fact that the UCITS Hedge master index is now down 0.39% in the year to the end of February tells a story.
February was still a good month to be long US equities as the first faint glimmerings of a potential US recovery continued to take hold. The S&P 500 was up 3.42% in February. By contrast, investors turned negative on emerging markets in February, particularly as the Chinese inflationary fears spread to those funds that had been bullish on China over the winter months (and indeed throughout 2010 in some cases). The UCITS hedge funds universe, particularly long/short equities, maintains a strong bias towards Europe, so big gains in US markets had less of an impact than in the offshore universe.Commodities markets also had a strong showing in February, with gold up by more than 6% and oil higher on growing concerns about turmoil in Egypt. Concerns were already growing that political unrest in the Middle East could travel further than the streets of Cairo and Tunis. In currency markets, the US dollar was probably one of the bigger culprits, losing steam going into February after a solid run of form since early December. It was a fruitful trade that became more uncertain, as the currency started trading more unpredictably, for instance between about 1.6 and 1.62 against sterling. Trend-following traders that had been backing the dollar’s rise in January would have hit choppier waters by Valentine’s Day.
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 comprised of UCITS III compliant hedge funds that are currently reporting to our database. The dominant strategies in the universe are long/short equity, event driven 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 and funds of 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 January 2011. 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 Renaud Cohard at renaud.cohard@thehedgefundjournal.com
