Opalesque Solutions

Emanagers Total Index declines 1.07% in October (+3.33% YTD)

November 22, 2012
 

Emerging manager hedge funds and managed futures funds generated losses last month, according to a first estimation based on the data of 298 funds listed in Opalesque Solutions' Emanagers database.


The Emanagers Total Index lost 1.07% in October, reducing its year-to-date performance to +3.33%. Estimates for September and August were corrected to +0.15% and +0.73%, respectively. Since inception in January 2009, the index posted compounded returns of 62%.


Over the last 12 months, emerging managers gained 2.82% in 7 negative and 5 positive months, compared to 2.87% for the Eurekahedge Hedge Fund Index. Global stocks, tracked by the MSCI World Index, gained approximately 10% in the same period.



Managed futures strategies had their worst month so far this year, while hedge funds experienced only small losses: The Emanagers Hedge Fund Index lost 0.21% (+5.84% YTD), while the Emanagers CTA Index lost 2.14% (-1.98% YTD).



The month of October proved to be a difficult macro environment with declining commodity prices, and changing directional movements of interest rates and equity prices. As a result, most investment strategies came under pressure:


- Relative value and equity long-bias strategies performed best, with gains of 1.57% and 1.36%. Global macro hedge funds did slightly better than managed futures strategies, but still lost 1.47%.


- Year-to-date, the ranking is led by event-driven hedge funds with compounded returns of almost 16%.


Over the last 12 months, Opalesque calculated MSCI-correlation coefficients of 87% for Emanagers hedge funds and -38% for Emanagers CTAs, resulting in equity-market betas of 33% and -17%.



Florian Guldner, Opalesque Research