Industry Updates

UCITS Index shows loss of 1.36% in May and year to date loss of 0.10%

Tuesday, June 05, 2012

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Opalesque Industry Update - The UCITS Alternative Index Global is down -1.36% in May bringing its year to date performance to -0.10%. The UCITS Alternative Index Fund of Funds is also down -1.25% bringing its yearly performance to -1.64%. For the first time this year, the UAI Global is negative on YTD. 8 out of 11 strategies indices return negative performances this month. The UAI Emerging Markets is down -3.69%, while the UAI Commodities and UAI Long/Short Equity are down respectively -3.00% and -2.39%. The strategies posting gains this month are Volatility (up 1.05%), FX (up 0.79%) and CTA (up 0.66%). So far this year, the UAI Volatility (up 1.76%) and UAI Fixed Income (up 1.70%) are the best performers.

The UAI Blue Chip is down -0.46% in May but remains positive on YTD with a performance of 2.06%. Following the same pattern as the UAI, the strategy components within the Blue Chip Index that contribute negatively to its performance are Emerging Markets (-18 bp), Commodities (-12 bp) and Long/Short Equity (-12 bp).

All UAIX are down in May with the exception of the UAIX Volatility (up 0.34%) and the UAIX Fixed Income (0.00%). The UAIX CTA (-0.18%), Long/Short Equity (-1.57%) and Commodities (-2.32%) are down for the month. Similarly to their UAI benchmarks, the UAIX Volatility and Fixed Income are the best YTD performers, up respectively 4.34% and 3.33% so far this year.

The total assets managed by UCITS hedge funds have increased by 3.5 billion this month to reach EUR 126.5 billion. At the end of May 2012, the UCITS Alternative Index is composed of 852 constituent hedge funds and funds of hedge funds.

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