UCITS HFS Index not able to profit from market upswing, down -0.76% in November 2011

December 7th, 2011
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Contributed by: 2n20.com
After a positive performance in October the UCITS HFS Index continued its poor performance this year with a loss of -0.76% in November 2011. The month started on a negative note already, posting a loss of -0.11% in week one. Things didn’t change much in week two and three with losses of -0.11% and -0.04% respectively, but it was week four which had a massive impact on the November performance with a loss of -0.69%. Although equity markets rallied in the last three days of November, the funds tracked in the broad index could not capitalize on this significantly, only reeling in a profit of +0.21% during that time.

From a sub-strategy perspective only one out of the eleven strategies was able to report positive returns in November: Currency (+0.55%). Interestingly enough it was positive throughout the month, only losing money during the end of November market rally. The only other strategy coming close to a positive performance was Arbitrage with a loss of -0.01%, nearly finishing in the green due to the last days of trading. The worst performing strategies were Convertible (-2.33%), L/S Equity (-1.55%) and CTA (-0.89%). The later started positively into the month, turning negative in the last days of trading. L/S Equity on the other hand was negative throughout, losing -1.46% alone in week four. Therefore gains of +0.79% due to the market rally were not enough to turn things around. With another negative monthly performance of ten out of the eleven sub-strategies still none of them is positive in 2011. The broad UCITS HFS Index now stands at -4.80% from a year to date perspective.

About the UCITS HFS Index
The UCITS HFS Index Series is the first index family that tracks all UCITS funds using hedge fund strategies. The UCITS HFS Index Series includes all UCITS III funds that apply absolute return strategies, have more than 10 Mio. € of assets under management, offer at least weekly liquidity and have reported numbers for more than one month. Index tracking funds, long-only and 130/30 strategies are excluded.
The indices are calculated on every friday and at the end of each month by the index calculator Structured Solutions AG. The results are published by the index advisor 2n20.com AG on the website www.ucitsindex.com and via the usual vendors.
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