After a solid recovery over the last two months, the UCITS HFS Index, which tracks UCITS funds using hedge fund strategies, came to a halt in September with a flat performance for the month.
The broad index started positively into the month with a performance of 0.10 per cent after the first full week of trading. The second week saw the UCITS HFS Index lose 0.25 per cent, its only weekly loss in September.
As the broad index recovered 0.07 per cent and 0.08 per cent in week three and four, respectively, the performance for the month was flat. Of all funds tracked, 52.10 per cent reported gains in September 2016.
From a sub-strategy perspective five of the twelve strategies reported positive results in September, the top performers being commodity (0.49 per cent), multi strategy (0.26 per cent) and L/S equity (0.23 per cent). While the latter two posted returns in every week except week two, commodity displayed lots of volatility with strong returns in week one and three and notable losses in the other weeks of the month.
The two worst performing strategies in September were CTA (-0.88 per cent) and global macro (-0.62 per cent), while the other five strategies in the red only experienced marginal losses. CTA only posted returns in the last week of trading, global macro only did so in the first full week of trading. Six strategies remain negative for 2016, the worst performer still being global macro (-2.72 per cent) by far.
The best performer this year remains commodity (4.84 per cent), with credit still holding on to the second position (3.36 per cent). From a year to date perspective the broad UCITS HFS Index remains unchanged and therefore still stands at 0.08 per cent in 2016.
