Opalesque Solutions

Emanagers Total Index gains 2.50% in July (+4.13% YTD)

August 26, 2012
 

July was another strong month for emerging manager hedge funds and managed futures funds, according to a first estimation based on the data of 298 funds listed in Opalesque Solutions' Emanagers database.


The Emanagers Total Index advanced 2.50% last month and is up 4.13% in 2012. Estimates for June and May were corrected to -0.11% and -0.63% respectively. Since inception in January 2009, the index posted compounded returns of 63.3% and outperformed both the global stock market and hedge fund indexes.


Over the last 12 months, the index saw 8 negative and 4 positive months but still gained 0.71% and outperformed both the Eurekahedge Hedge Fund Index (-2.32%) and the MSCI World Index (-4.24%).



Both hedge funds and managed futures funds made profit in July: The Emanagers Hedge Fund Index rose 1.29% (+4.26% YTD) and the Emanagers CTA Index gained 4.37% (+2.05% YTD).



July was a month of excellent opportunities for trend-following managed futures managers, which helped to increase the index result for the overall sector.


Hedge fund strategies were also positive last month: Event-driven funds performed best (+4.42%), followed by relative value (+1.61%), equity long bias (+0.98), equity L/S (+0.97%), global macro (+0.85%) and multi-strat (+0.84%) investment strategies.


Year-to-date, hedge fund results range between 10.22% (event-driven) and 0.01% (equity long bias).


12-month rolling performance data gives MSCI-correlation coefficients of 94% for Emanagers hedge funds and -33% for Emanagers CTAs. The resulting equity-market betas are 43% and -9%, respectively.



Florian Guldner, Opalesque Research