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The LuxHedge Global UCITS Index covers the whole universe of UCITS compliant alternative funds that have assets under management higher than EUR 20 million and a track record of at least 6 months. Each fund is equally weighted within the index.
Equity Hedge strategies take both long and short exposures to equity markets, in a UCITS context using equity derivative securities to achieve the short leg. This category contains both Long/Short funds who typically maintain a small but positive exposure to equity markets and Equity Market Neutral funds who aim for a zero correlation. Also Event driven funds are taken up in this strategy group. Investment managers in this category seek exposure to companies that are involved in mergers, major restructurings, financial distress or other major company events.
Fixed Income Relative Value strategies seek long and short exposure to different fixed income securities, anticipating that a discrepancy in price difference will narrow down in the future. In the context of UCITS, Credit Default Swaps (CDS) are very often used to gain short exposure in fixed income. This group also includes convertible arbitrage funds who specifically invest based on an expected behaviour of the price difference between a convertible security and a related non-convertible security.
Macro funds take a macro-economic view to analyse markets, predict how they will move due to large developments and spot long or short term investment opportunities in equity, interest rate, commodity or currency markets. Funds in the Global Macro category typically take a fundamental, discretionary approach whereas funds in the CTA/Managed futures category employ more algorithmic and quantitative methods like trend following trading. A smaller group of currency arbitrage funds uses top-down analysis of macroeconomic variables to make predictions on the future movement of different foreign exchange markets.
The Opportunistic and multi strategy group contains a wide variety of different funds. Commodity Arbitrage funds seek long and short exposure to commodities like oil, gold or silver, often looking at trends or momentum in the underlying commodity asset. Volatility arbitrage funds trade volatility as an asset class through the implied volatility inherent in options. Most often these funds aim to benefit from a temporary imbalance between implied and realized volatility. Multi Strategy funds combine different Alternative investment techniques like equity long/short, relative value fixed income, macro, … and offer all of these strategies diversified together in one fund. Most often different investment teams are responsible to run each of the different strategies.
The LuxHedge Fund of Funds Universe Index includes funds that mainly invest in alternative UCITS funds or in traditional funds matched with alternative techniques. Funds of funds are generally exposed to a wide range of investment styles and strategies.