Ucits HFS Index up 0.35 per cent in July
After a slight loss in June the Ucits HFS Index returned a positive result in July 2010.
Although up by only 0.35 per cent, it is a noteworthy result as during the first three weeks of the month the broad index was negative.
After the first week of trading with nearly every strategy in the red the Ucits HFS Index was down by 0.46 per cent. The second week added a positive 0.41 per cent to the overall performance just to lose another 0.19 per cent in the third week of trading.
The last few days of July turned things around with a positive performance of 0.59 per cent, mainly due to a strong finish of convertible, event driven, L/S equity and credit.
Out of the 11 strategies seven returned negative results in July 2010. The worst performers were currency (-2.81 per cent), global macro (-1.19 per cent) and fixed income (-0.88 per cent). The latter was able to reduce its losses in the last week of trading while currency accumulated them week by week, opposed to global macro which took most of the losses in the first week of July.
The three best performing strategies were convertible (+3.12 per cent), event driven (+2.73 per cent) and L/S equity (+1.49 per cent) which all made a significant amount of their profits in the last trading week in July. Due to their strong weightings within the index (L/S equity in particular) the broad Ucits HFS Index did not finish in the red and now stands at +2.25 per cent year to date.
The indices are calculated by the index calculator Structured Solutions.
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