After a draw-down in August the UCITS HFS Index reports a loss of -0.71% in September 2015 due to ongoing market turmoil. The broad index started negatively into the month, dropping -0.19% after the first week of trading. The negative trend was halted in week two as the UCITS HFS Index gained 0.04%, before week three brought along another loss of -0.09%. The last week and a half of the month did the real damage though as losses of -0.47% reflected the market turmoil trickling through even to absolute return funds. Of all funds tracked only 28.53% reported gains in September 2015.
From a sub-strategy perspective ten strategies were in the red in September, the three worst performing strategies being Event Driven (-1.48%), L/S Equity (-1.40%) and Global Macro (-1.11%). While Global Macro reported losses in every single week of the month, Event Driven was one of the few strategies to have two positive weeks (two and three), but like L/S Equity the losses incurred in the last week and a half of the month weighed to heavily. The only two strategies that reported gains in September were CTA (0.82%) and Arbitrage (0.24%), the former once again proving its portfolio protection potential and uncorrelated returns compared to stock markets. Although CTA had to take losses in week two and three, the last week and a half provided enough gains to finish September positively. In contrast Arbitrage made its profits in week two and three while taking losses the rest of the month. The worst performing strategy from a year to date perspective is Commodity by far (-5.00%), while Market Neutral has taken over the top spot for 2015 returns (1.75%). From a year to date perspective the broad UCITS HFS Index now stands at -0.05% in 2015.
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).