Opalesque Solutions

Emanagers Total Index up 3.48% in October (-0.79% YTD), hedge fund strategies back in positive territory in 2011

November 25, 2011

Opalesque Ltd., a leading provider of online information services to the alternative investment industry, today* announced the estimated October results for its series of indices tracking emerging hedge fund and managed futures fund managers. Calculations are based on currently 312 funds listed in the Emanagers database, the industry's only database dedicated exclusively to hedge fund management firms less than 48 months old and with assets under management of less than $600 million at the time of the firm's inception.

The Emanagers Total Index, consisting of both hedge funds (65%) and managed futures funds (35%), gained 3.48% in October and is down 0.79% year to date. Since January 2009, the index has performed exceptionally well, returning 34.5% in 2009 and 18.73% in 2010. Funds listed in the Emanagers Database thus outperformed all major hedge fund indices as well as equities.

Hedge funds profited from last month's strong market rally, with the Emanagers Hedge Fund Index gaining 6.22%. The index is now back in positive territory (+0.33%) year to date. Managed futures strategies posted mixed results and a flat overall performance for the third month in a row, as well for the year 2011 so far.

Although emerging manager hedge funds outperformed the Eurekahedge Hedge Fund Index over the last 12 months, they were much more volatile. Analysis of the beta coefficient also shows that emerging manager hedge funds had a higher market risk over the last year than their established counterparts, driven by both volatility and correlation.

Managed futures strategies were less volatile than hedge funds in the analyzed period, as well as less correlated with the stock market, resulting in an equity market beta of only 13%.

Performance (in %), Volatility and Equity Market Beta (in %)
Index Oct 2011 YTD 2010 2009 Volatility Equity market beta
Emanagers Total Index 3.48 -0.79 18.73 34.51 7.54 37
Emanagers Hedge Fund Index 6.22 0.33 17.07 37.59 10.25 51
Emanagers CTA Index -0.11 -0.10 19.15 20.52 5.37 13

Eurekahedge Hedge Fund Index 1.95 -2.92 10.74 20.29 6.05 29
MSCI World 10.26 -4.90 9.40 27.07 19.27 100

The subscription to Opalesque Solutions' Emerging Managers Database includes full access to Opalesque's daily Alternative Market Briefing publication. Our index results and methodology can be found here: Source

- FG

* Recalculated as of Dec 12, 2011