Opalesque Solutions

Emanagers Total Index up 0.1% in September (+4.33% YTD)

October 23, 2012
 

Emerging manager hedge funds and managed futures funds saw slight gains last month, according to a first estimation based on the data of 307 funds listed in Opalesque Solutions' Emanagers database.


The Emanagers Total Index advanced 0.1% in September, resulting in a 2012 performance of +4.33%. Estimates for August and July were corrected to +0.67% and +2.0%, respectively. Since inception in January 2009, the index posted compounded returns of 63.6%.


Over the last 12 months, emerging managers gained 6.73% in 6 negative and 6 positive months, compared to 4.93% for the Eurekahedge Hedge Fund Index. Global stocks, tracked by the MSCI World Index, gained almost 19% in the same period.



Last month was particularly challenging for managed futures strategies, while hedge funds were able to deliver strong returns once more: The Emanagers Hedge Fund Index gained 1.32% (+6.64% YTD), while the Emanagers CTA Index lost 1.46% (-0.58% YTD).



August's stock market rally continued last month as central banks took further steps towards monetary easing. As a result, directional and event-driven hedge fund strategies were September's winners:


- Equity long-bias hedge funds gained 3.66%, followed by equity L/S (+1.32%) and event-driven strategies (+1.17%). Relative value funds gained 1.14%, global macro and multi-strategy funds were up 0.34% and 0.32% respectively.


- Year-to-date, event-driven hedge funds performed best with compounded, average returns of 13.5%.


12-month rolling performance data gives MSCI-correlation coefficients of 91% for Emanagers hedge funds and -48% for Emanagers CTAs, resulting in equity-market betas of 37% and -17%.



Florian Guldner, Opalesque Research