Opalesque Solutions

Emanagers Total Index down 0.38% in April (+3.05% YTD)

May 21, 2012
 

Emerging manager hedge funds and managed futures funds experienced slight losses in April, according to a first estimation based on the data of 291 funds listed in Opalesque Solutions' Emanagers database.


The Emanagers Total Index lost 0.38% in March, reducing its year-to-date performance to +3.05%. Estimates for March and February were corrected to -0.15% and +1.55% respectively. Since inception in January 2009, the index grew 61.6% and outperformed both the global stock market and its hedge fund peers.


Over the last 12 months, the index lost an estimated 2.18% with 8 negative and 4 positive months, compared to losses of 3.17% for the Eurekahedge Hedge Fund Index and 6.81% for the MSCI World Index.



Both hedge funds and managed futures funds saw losses in April. However, hedge funds clearly outperformed managed futures strategies in 2012.


The Emanagers Hedge Fund Index had its first negative month this year, losing 0.49%. Year-to-date, the index is still up over 5%. Managed futures funds tracked by the Emanagers CTA Index continued their negative 2012 trend with a loss of 0.13%, lifting the year-to-date loss to 2.08%.


Despite mixed results, both sub-indices outperformed the all-funds group represented by the Eurekahedge Hedge Fund Index and the Nedwedge CTA Index over the last 12 months.



Analysis of 12-month rolling data shows a growing negative correlation of managed futures strategies with the stock market, while their volatility remained relatively low. As a result, Emanagers CTAs had an MSCI-beta of -5%, compared to +49% for Emanagers hedge funds.



Florian Guldner, Opalesque Research