Opalesque Solutions

Emanagers Total Index up 0.36% in March (+3.79% YTD)

April 24, 2012
 

Opalesque Ltd., today announced the estimated March 2012 and year-to-date results for its series of indices tracking emerging hedge fund and managed futures fund managers. Index calculations are based on currently 288 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, tracking both hedge funds and managed futures funds, gained 0.36% in March, lifting its year to date return to 3.79%. Estimates for February and January were corrected to 1.37% and 2.02% respectively. Since January 2009, the index grew over 62% and outperformed both the global stock market and its hedge fund peers.


With six positive and six negative months, the index has delivered a positive performance of 0.55% over the last twelve months but is still lagging its all time high at the end of April 2011.



In contrast to the first two months of 2012, managed futures strategies were the performance drivers in March, while hedge funds performed only slightly positive.


According to our first estimation, the Emanagers Hedge Fund Index gained 0.20% in March and 5.60% for the quarter. Managed futures funds tracked by the Emanagers CTA Index had their first positive month in March, gaining 0.74%. The index is down 0.50% for the first quarter.


Emerging managers thus outperformed the all-funds group represented by the Eurekahedge Hedge Fund Index and the Newedge CTA Index in March, in the first quarter and over the last twelve months. However, they failed to beat the stock market in the first quarter.



Volatility and correlation analysis gives approximately the same picture as last month: Emerging manager hedge funds were more volatile returns than Eurekahedge hedge funds, resulting in a higher MSCI-beta of 49% compared to 30%.


The Emanagers CTA Index was less volatile and slightly negatively correlated to the stock market, which led to an MSCI-beta of -1.9%.