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Alternative Market Briefing

2018 proves a tough year for alternative UCITS funds

Monday, January 28, 2019

Laxman Pai, Opalesque Asia:

Only one in six alternative UCITS funds was able to post positive results for the year and assets under management in the total space declined with slightly less than 8%.

The LuxHedge Global Alternative UCITS Index posted a loss of -4.45% in 2018, the worst annual result since the start of the LuxHedge indices in 2006.

"Every strategy group index lost and dispersion between funds was even larger than usual with the top performers delivering uncorrelated double digit returns to investors, being rewarded by some of the largest inflows that we've witnesses the past years," said a report by LuxHedge.

2018 was an exceptionally bad year with a larger beta than usual and the equal weighted fund index not delivering any alpha at all. In a simple regression since 2006, the LuxHedge Alternative UCITS index (EUR) has a beta of 14% and annual alpha of 1.3% with respect to the MSCi Europe Index (EUR).

Equity hedge strategies and Alternative Risk Premia lost ground

Within Equity Hedge strategies, both Long/Short Equity (-6.3%) and Equity Market Neutral funds (-3.97%) lost a lot of ground, said LuxHedge.

Fixed Income Alternative strategies are in negative terrain as well but have shown most resilience and decorrelation in 2018 with the Rates Long/Short Index ending the year at -1.02% and Credit Long/Short Index at -2.66%.

The largest annual losses were realized by quantitative multi asset strategies with the LuxHedge CTA Index de......................

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