HFRU Indices: Mid-November Performance Update

Global financial markets posted mixed performance through mid-November, with a contrast between increased investors risk tolerance in US contributing to equity market gains and favorable response to technology IPOs while weak European economic growth data and interest rate cut contributed to equity market declines and currency weakness. US equity gains were led by Healthcare, Technology and Cyclical sectors, as technology IPOs posted substantial gains on strong investor demand. European equities were mixed through mid-November, with declines in Spain, Italy & UK partially offset by gains in Germany & the Netherlands. Emerging Asian equities posted declines led by the Philippines, Taiwan and India, while the Japanese Nikkei posted a partially offsetting gain. US yields rose as the yield curve steepened, with accommodative comments by incoming FOMC Chair contrasting with investor expectations of near term stimulus tapering, while European government bond yields were essentially unchanged through mid-November despite downward pressure on yields by ECB policy action. The Euro declined from a 24 month high against the US dollar on weak EU growth data, while the US dollar also gained against the Japanese Yen and EM currencies led by the Brazilian Real. Metals declined through mid-month, though pared losses on FOMC comments, with declines led by Copper, Aluminum and Silver; agricultural commodities posted declines across Sugar, Wheat and Hogs, partially offset by gains in Rice. UCITS compliant Hedge funds posted gains, with the HFRU Hedge Fund Composite Index gaining +0.19% through mid-November.

• HFRU Equity Hedge Index posted a gain of +0.41% through mid-November, with positive contributions from Global equities with concentration in Healthcare, Technology, European and Japanese equity, partially offset by exposure to Turkey, Brazil and India.
  
  
• HFRU Event Driven Index posted a gain of +0.22% through mid-November, with contributions from European Equity Special Situations and mixed performance from Merger Arbitrage strategies, while Emerging Market exposure and credit strategies detracted from performance.
  
  
• HFRU Relative Value Arbitrage Index posted a gain of +0.13% through mid-November, with gains in Global Convertible Arbitrage, Fixed Income and Asset-Backed strategies, partially offset by declines in Volatility and Emerging Markets exposure.
  
  
• HFRU Macro Index posted a decline of -0.15%through mid-November, with contributions from European Multi-Strategy and Global Systematic managers which were offset by declines in Commodity Metals and Emerging Market exposure.
  

The HFRU Indices are published on a daily basis and comprise the most comprehensive benchmarks of UCITS hedge fund performance available. HFRU Indices are representative of the complete universe of hedge funds compliant with UCITS guidelines, and include four strategy indices (Equity Hedge, Event Driven, Macro and Relative Value Arbitrage) and an aggregate HFRU Hedge Fund Composite Index.

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Comments reflect performance figures as of November 15, 2013.