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UCITS absolute return funds advance by 0.89% on average in November as measured by the UAI Global and are now up 1.49% for the year. The best performing strategy is CTA with a progression of 4.07%, the largest monthly gain since 2010. The next best performing strategies are Macro, Multi-Strategy and Long/Short Equity up 1.11%, 1.06% and 1.03% respectively. On the negative side Commodity funds continue to suffer with -1.11% in November. Since the beginning of the year the best performing strategy is CTA up 8.64% followed by Multi-Strategy and Macro up 1.93% and 1.89%. Funds of UCITS absolute return funds progress by 1.17% in November after having lost 1.25% in October. They are now back in positive territories for the year with 0.24%.

UAIX indices

UAIX strategy indices return strong performances in November. As for the broad market the best performance is achieved by the UAIX CTA which advances by 7.20% in November. The next best performing strategy indices are the UAIX Event-Driven up 4.07%, the UAIX Long/Short Equity up 2.51% and the UAIX FX up 2.37%. The UAIX Commodities is the only strategy index finishing the month with a negative performance (-0.69%). Following its recent strong results the UAIX CTA displays the best performance since the beginning of the year up 12.10%. It is followed by the UAIX FX up 5.43% and the UAIX Long/Short Equity up 2.76%.

UAI Blue Chip The UAI Blue Chip advances by 1.39% in November outperforming the global market by 50bp. The best performing strategy buckets are CTA up 6.50%, Event-Driven up 3.45% and Long/Short Equity up 2.36%. Volatility is the only strategy that performs negatively with -0.89% for the month. Long/Short Equity and CTA funds are the largest performance contributors this month with 47bp and 39bp. The UAI Blue Chip is now up 1.32% since the beginning of the year.

Number of funds and AUM

With inflows of EUR 1bn in November the assets managed in UCITS absolute return funds continue to advance albeit at a smaller pace compared to the previous months. Long/Short Equity, Emerging Markets and CTA funds attracted assets in October while Event-Driven, Multi-Strategy and Commodities saw lost assets during the period. Since the beginning of the year assets managed by UCITS absolute return funds progressed by 32% or EUR 62 billion. With the exception of Commodities (-42%) and Volatility (-8%) all strategies attracted assets.