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UCITS HFS Index loses -0.26% in May 2011, (0.68% YTD)

Thursday, June 09, 2011
Opalesque Industry Update - The UCITS HFS Index reported a loss of -0.26% in May, a continuation of its rocky theme for this year. After a loss of -0.21% in the first week of trading the broad UCITS HFS Index pulled back +0.12% in week two, but these small gains were nullified in week three with a loss of -0.14%. As week four was rather quiet with a loss of -0.03% and therefore couldn’t turn things around, the UCITS HFS Index now has three negative monthly results this year with losses taken in January, March and May. Of all funds tracked in the broad UCITS HFS Index only 39.56% were positive in May 2011.

From a sub-strategy perspective only three out of the eleven strategies were able to report positive numbers last month: Credit (+0.87%), Arbitrage (+0.66%) and Fixed Income (+0.64%). While the latter lost some of its monthly performance in the last week of May, Arbitrage was positive throughout the month and Credit only lost marginally in the last days of trading. The biggest losers were CTA (-2.19%), Event Driven (-1.11%) and Convertible (- 0.52%), the latter still being the top performing strategy in 2011 (+2.29%). CTA remains the most volatile strategy: already being down -3.25% after the first three weeks of May it pulled back +1.06% in the last week of trading. Event Driven on the other hand reported losses week after week, although most of them were accumulated in the second half of May. The UCITS HFS Index remains negative in 2011 and now stands at -0.68% from a year to date perspective.

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