The UCITS HFS Index recorded a moderately positive 2015, although it started well into the year with a January performance of 1.09%, followed up by gains of 1.01% in February. However, those were the best monthly performances of the year. Albeit the broad index only had four down months – the first one only coming in June (-1.09%) – the loses taken hampered the yearly performance tremendously. The UCITS HFS Index already peaked in May (2.71%) and struggled thereafter, even turning negative at the end of September (-0.05%) for a few days. Although it bounced back, a negative end to the year with a loss of -0.76% in December reduced the yearly performance again. The UCITS HFS Index finishes 2015 with gains of 0.40%.
Performance 2015 by strategy
From a sub-strategy perspective six of the twelve strategies returned money for investors in 2015. The top performing strategies were L/S Equity (2.93%), Market Neutral (2.25%) and Global Macro (1.63%). While L/S Equity and Global Macro were highly correlated to the broad index with the same four down months, Market Neutral showed a different return profile: it only reported three down months (from August to October), never losing more than -0.12% per month. Although it also never made more than 0.46% per month, its stable gains made it the second best performing strategy of the year. Besides those three strategies only Convertible was able to keep a positive year to date performance throughout 2015, finishing the year with gains of 1.14%.
The worst performing strategies in 2015 were Commodity (-5.74%), CTA (-2.81%) and Credit (-1.47%). CTA, after being the top performer in 2014, once again proved to be the most volatile strategy in the UCITS HFS Index. Although it was already up 4.39% in March on a year to date basis, things got erratic quickly thereafter, ending the year in the red although having reported six up months. Credit stayed positive from a year to date perspective until September, but a difficult second half of the year and severe losses in December were too much to keep investors happy. Commodity on the other hand did not start well into the year and with nine down months never was positive throughout 2015. The only other strategy to never have been up year to date in 2015 was Currency (–1.30%), which also holds the record for the most down months (ten).
About the UCITS HFS Index
The UCITS HFS Index Series is the first index family that tracks all UCITS funds using hedge fund strategies. The UCITS HFS Index Series includes all UCITS funds that apply absolute return strategies, have more than 10 Mio. € of assets under management, offer at least weekly liquidity and have reported numbers for more than one month. Index tracking funds, long-only and 130/30 strategies are excluded.
The indices are calculated on every Friday and at the end of each month by the index provider 2n20.com AG and are published on the website www.ucitsindex.com.
Founded in 2009, the Pfaeffikon-based Swiss 2n20.com AG is a financial servce provider specialized in internet based services tailored for the hedge fund industry. It launched the first index family for hedge funds in UCITS wrapper – the UCITS HFS Index family – and acts as index provider in this regard. 2n20.com provides institutional investors with information via its databases and newsletters and offers investable products on and licensing of its indices. Furthermore 2n20.com offers institutional money managers a price comparison and negotiation service in order to optimize their service provider relationships or setup new fund structures via its Negotiato.rs platform (www.negotiato.rs).