UCITS HFS Index takes third monthly loss in a row, down -0.70% in May

June 11th, 2012
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Contributed by: 2n20.com
The UCITS HFS Index continues its downward trend with a setback of -0.70% in May 2012 after its drop of -0.36% and -0.34% in April and March respectively. The largest part of the May loss is attributable to the first two weeks of trading in which the UCITS HFS Index took losses of -0.45% and -0.37%. The third week had less impact, still being negative though (-0.17%). Similar to most of the sub-strategies the UCITS HFS managed to have a positive performance during the last week of May with gains +0.28%, slightly softening the monthly loss.

From a sub-strategy perspective five out of the twelve sub-strategies returned profits in May. The best performing strategies were CTA (+2.11%) and Currency (+1.75%), both of which had been negative in March and April. CTA lost -0.72% during the first week of trading, however, managed to cut the losses over the three following weeks, in particular with a performance of +1.98% during the last week of May. On the other hand, Currency managed to post positive returns week after week throughout May. Credit and Fixed Income are the only two strategies with back to back positive monthly results in 2012, accumulating now six positive months. They stand at +3.48% and +2.59% in 2012. The three worst performing strategies in May were L/S Equity (-2.23%), Commodity (-2.14%) and Convertible (-0.78%). While L/S Equity and Commodity managed to earn money during the last week of May, Convertible was negative throughout the whole month. From a year to date perspective the broad UCITS HFS Index now stands at +1.11% in 2012.

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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