Industry Updates

UCITS HFS Index not able to profit from market upswing, -0.76% in November (-4.78% YTD)

Wednesday, December 07, 2011

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Opalesque Industry Update — After a positive performance in October the UCITS HFS Index continued its poor performance this year with a loss of -0.76% in November 2011. The month started on a negative note already, posting a loss of -0.11% in week one. Things didn’t change much in week two and three with losses of -0.11% and -0.04% respectively, but it was week four which had a massive impact on the November performance with a loss of -0.69%. Although equity markets rallied in the last three days of November, the funds tracked in the broad index could not capitalize on this significantly, only reeling in a profit of +0.21% during that time.

From a sub-strategy perspective only one out of the eleven strategies was able to report positive returns in November: Currency (+0.55%). Interestingly enough it was positive throughout the month, only losing money during the end of November market rally. The only other strategy coming close to a positive performance was Arbitrage with a loss of -0.01%, nearly finishing in the green due to the last days of trading.

The worst performing strategies were Convertible (-2.33%), L/S Equity (-1.55%) and CTA (-0.89%). The later started positively into the month, turning negative in the last days of trading. L/S Equity on the other hand was negative throughout, losing -1.46% alone in week four. Therefore gains of +0.79% due to the market rally were not enough to turn things around. With another negative monthly performance of ten out of the eleven sub-strategies still none of them is positive in 2011. The broad UCITS HFS Index now stands at -4.80% from a year to date perspective.

(press release)

Full performance table: Source

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