Opalesque Solutions

Emanagers Total Index gains 2.72% in January after losing 1.6% in 2011

February 21, 2012
Florian Guldner, Opalesque Research:

Opalesque Ltd., a leading provider of online information services to the alternative investment industry, today announces the estimated January and updated 2011 year-end results for its series of indices tracking emerging hedge fund and managed futures fund managers. Index calculations are based on currently 303 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.

The Emanagers Total Index, consisting of both hedge funds and managed futures funds, gained 2.72% in January after losing 1.6% in 2011. Since inception in January 2009, the index grew over 61%, outperforming both the global stock market and its hedge fund peers.

The positive January result was generated by the returns of hedge fund strategies, as the Emanagers Hedge Fund Index gained 3.97% (-2.45% in 2011). Managed futures funds tracked by the Emanagers CTA Index gained 0.56% (+0.39% in 2011).

12-month rolling volatility of Emanagers hedge funds slightly increased due to heavy performance swings in the second half of 2011 and January 2012. We calculated a stock market beta of approximately 50%, compared to 29% for the Eurekahedge Hedge Fund Index.

Emanagers managed futures strategies continued their trend of delivering truly uncorrelated returns, resulting in an equity market beta of less than 1%. As one of very few fund performance indices, the Emanagers CTA Index also finished the year 2011 in positive territory.

Performance (in %), Volatility and Equity Market Beta (in %)
Index Jan 2012 2011 2010 2009 Volatility Equity market beta
Emanagers Total Index 2.72 -1.60 18.73 34.51 6.50 34
Emanagers Hedge Fund Index 3.97 -2.45 17.07 37.59 9.62 50
Emanagers CTA Index 0.56 0.39 19.15 20.52 3.72 0.8

Eurekahedge Hedge Fund Index 2.10 -4.10 10.71 20.37 5.72 29
Newedge CTA Index 0.46 -4.45 9.26 -4.31 8.37 1.7
MSCI World 0.75 -7.61 9.40 27.07 18.33 100

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