Opalesque Solutions

Emanagers Total Index up 0.12% in December (-1.83% in 2011), emerging managers outperformed again in 2011

January 22, 2012

Opalesque Ltd., a leading provider of online information services to the alternative investment industry, today announced the estimated December and year-end results for its series of indices tracking emerging hedge fund and managed futures fund managers. Index calculations are based on currently 295 funds listed in Opalesque Solutions' Emanagers database, the industry's only database dedicated exclusively to 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%), gained 0.12% in December, finishing the year 2011 down 1.83%. Over the last three years, the index rose almost 57% with gains of 34.5% in 2009 and 18.7% in 2010.

While the Emanagers Hedge Fund Index lost 0.22% in December (-2.50% in 2011), managed futures funds tracked by the Emanagers CTA Index gained 1% (+0.23% in 2011).

Our data shows that emerging manager hedge funds and CTAs outperformed the broad fund universe every year since 2009.

Performance (in %), Volatility and Equity Market Beta (in %)
Index Dec 2011 2011 2010 2009 Volatility Equity market beta
Emanagers Total Index 0.12 -1.83 18.73 34.51 5.85 31
Emanagers Hedge Fund Index -0.22 -2.50 17.07 37.59 8.70 48
Emanagers CTA Index 1.00 0.23 19.15 20.52 3.71 1

Eurekahedge Hedge Fund Index -0.28 -4.21 10.74 20.37 5.23 28
Newedge CTA Index 0.46 -4.45 9.26 -4.31 8.41 5
MSCI World -0.17 -7.61 9.40 27.07 17.66 100

Over the last 12 months, Emanagers hedge funds were more volatile than their peers tracked by the Eurekahedge Hedge Fund Index and experienced a slightly higher correlation with the stock market, resulting in a higher equity market beta of 48% compared to 28%.

Emanagers managed futures strategies had not only the least volatile 2011 results of all time series analyzed, but also the smallest correlation (+5%) with the MSCI World index. As a result, the equity market beta of the Emanagers CTA Index was below 1%, proving that managed futures strategies achieved their goal of providing returns with virtually no stock market correlation.

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

- Florian Guldner1033;