Falling index

Tumultuous month sees Ucits HFS Index down 1.08 per cent in May

After two positive months the Ucits HFS Index lost 1.08 per cent in May 2010 after a challenging month for the financial industry.

The loss of 0.27 per cent in week one was followed by a slight win in week two of 0.14 per cent, before the broad index took a hit in week three losing 1.26 per cent, the biggest downward movement this year so far.

The last week of trading mitigated the damage done by winning back 0.31 per cent, mainly due to a strong month end performance of credit, currency and market neutral.

While strategies like L/S equity, CTA and event driven could record at least gains in the last week of trading, convertible lost another 1.37 per cent in the mean time and managed to turn negative on a year to date basis after a catastrophic performance in May 2010 of -5.58 per cent.
 
May turned out to be very inhomogeneous from a sub-strategy perspective: out of the four positive performing strategies credit and currency were the most profitable ones with notable gains of 6.51 per cent and 3.53 per cent respectively, although currency made all the profits in the first half of the month.

Out of the seven strategies in the red five lost more than two per cent, with convertible (-5.58 per cent), global macro (-3,91 per cent) and CTA (-3,59 per cent) taking the biggest hits. The latter at least enjoyed a good last week in May, but it keeps the title of the worst performing strategy year to date with a loss of 2.53 per cent so far.

The biggest sub strategy, L/S equity, finished with a loss of 2.32 per cent, due to weak performance in week one and three and recovering slightly in week two and four. This results in a year to date performance of -0.40 per cent, while the broad Ucits HFS Index stands at 2.04 per cent in comparison.

The Ucits HFS Index Series is the first index family that tracks all Ucits funds using hedge fund strategies. The indices are calculated by Structured Solutions.

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