Opalesque Solutions

Emanagers Total Index gains 0.3% in November (+4.14% YTD)

December 18, 2012
 

Emerging manager hedge funds and managed futures funds gained 0.3% last month, according to a first estimation based on the data of 305 funds listed in Opalesque Solutions' Emanagers database.


The Emanagers Total Index was up 0.3% in November, bringing its net year-to-date return to 4.14%. Estimates for October and September were corrected to -0.68% and +0.24%, respectively. Since inception in January 2009, the index posted compounded returns of 63%.


Over the last 12 months, emerging managers gained 4.08% in 6 negative and 6 positive months and slightly underperformed the Eurekahedge Hedge Fund Index, which gained 4.24% in the same period. Global stocks, tracked by the MSCI World Index, gained 11% over the last 12 months.



November's positive result was mainly driven by hedge fund strategies, while managed futures strategies posted a small loss: The Emanagers Hedge Fund Index gained 0.64% (+6.74% YTD), while the Emanagers CTA Index lost 0.1% (-1.43% YTD).



Last month was characterized by a mid-month reversal on equity markets. Most hedge fund strategies were able to make profits in this environment:


- Relative value strategies performed best with an average gain of 1.21%. Long/Short Equity funds gained 0.99%, followed by global macro (+0.79%) and multi-strategy funds (+0.48%). Besides managed futures strategies (-0.1%), losses were generated by long-bias equity funds (-1.40%) and event driven funds (-0.36%), according to our first estimation.


- Year-to-date, however, event-driven and long-bias strategies performed best and delivered double-digit returns.


Over the last 12 months, Opalesque calculated MSCI-correlation coefficients of 86% for Emanagers hedge funds and -41% for Emanagers CTAs, resulting in equity-market betas of 33% and -18%.



Florian Guldner, Opalesque Research