Opalesque Solutions

Emanagers Total Index down 0.44% (est.) in November, -1.52% YTD

December 27, 2011

Opalesque Ltd., a leading provider of online information services to the alternative investment industry, today announced the estimated November results for its series of indices tracking emerging hedge fund and managed futures fund managers. Calculations are based on currently 310 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.

According to a first estimation*, The Emanagers Total Index, consisting of both hedge funds (65%) and managed futures funds (35%), lost 0.44% In November and is down 1.52% year to date. Historically, the index returned 34.5% in 2009 and 18.7% in 2010, adding to a cumulative return of 57.28%. Funds listed in the Emanagers Database thus outperformed all major hedge fund indices as well as equities over the last 3 years.

Both hedge funds and managed futures funds lost ground in November, with the Emanagers Hedge Fund Index declining 0.22% (-1.21% YTD) and the Emanagers CTA Index losing 0.64% (-0.99% YTD).

Emerging manager hedge funds and CTAs continued to outperform their established peers in November: The Eurekahedge Hedge Fund Index lost 0.97% (at the time of our first index estimation). Worldwide equity tracked by the MSCI World Index lost 2.67% last month.

Volatility of the Emanagers hedge fund Index exceeded the Eurekahedge volatility over the last 12 months and also experienced a slightly higher correlation, leading to an equity market (MSCI) beta of 49% compared to 29% for the Eurekahedge Hedge Fund Index. Caused by both low volatility and low stock market correlation, Emanagers managed futures funds had a beta of only 11% in the analyzed period.

Performance (in %), Volatility and Equity Market Beta (in %)
Index Oct 2011 YTD 2010 2009 Volatility Equity market beta
Emanagers Total Index -0.44 -1.52 18.73 34.51 7.05 35
Emanagers Hedge Fund Index -0.22 -1.21 17.07 37.59 9.74 49
Emanagers CTA Index -0.64 -0.99 19.15 20.52 5.40 11

Eurekahedge Hedge Fund Index -0.97 -3.84 10.74 20.29 6.01 29
MSCI World -2.67 -7.44 9.40 27.07 19.31 100

Florian Guldner, Opalesque Research

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

* Values calculated initially on December 22nd