For the UCITS Hedge Index the first half 2011 performance was –0.79%, a figure that reflects the extremely difficult trading conditions facing asset mangers across the alternative investment universe.
The Macro Discretionary Index concluded the first half down 1.95% following a decline of 1.18% in June. Macro managers made profits in dollar interest rates trading but these gains were more than offset by losses in commodities, credit and FX positions. The difficulties being faced by macro managers are shown by the fact that in 2011 the Macro Discretionary Index has lost ground in five of the first six months. In 2010, the index recorded nine positive months out of 12.
During June, market attention once again remained focused on developments in Greece. The EU/IMF review of the Greek consolidation programme and the clear funding gap for 2012 kept traders on edge. Volatility worsened in mid-month when Greek prime minister George Papandreou reshuffled the government, while data releases confirmed that the EMU cycle is losing momentum, facing headwinds due to the appreciation of the euro, fiscal consolidation and slowing domestic demand.
The Equity Long/Short Index gave investors little to shout about in June or for the entire first half of 2011. During the half, the index was the second worst performer, ending the period down 1.1% following a 0.47% performance loss in June. Like the Macro Discretionary Index, it fell in five months out of six so far in 2011 after recording positive performance during nine of 12 months in 2010.
Banks continue to face problems in the market and leave investors nursing losses. John Paulson recently took the unusual of step of holding his hands up and saying he had got it wrong for being overweight US banks. In fact, it is not just US banks that have been hit but banks around the world.
The strategies to lose the least ground in the first half were the Macro Systematic Index (down 0.76%) and the smallest loser, the Relative Value Index (down 0.31%). Indeed, at 30th June the Relative Value Index emerged as the best performer over the period since the UCITS Hedge Index launched on 1st January 2010 as the Equity Long/Short Index, the erstwhile leader, fell back amid high volatility.
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. In all, the database is now tracking over 400 funds.
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 June 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
