Opalesque Solutions

Emanagers Total Index loses 0.74% in May (+1.69% YTD)

June 22, 2012
 

Emerging manager hedge funds and managed futures funds posted losses for the turbulent month of May, according to our first estimation based on the data of 294 funds listed in Opalesque Solutions' Emanagers database.


The Emanagers Total Index declined 0.74% in May, but is still up 1.69% for the year, thanks to strong results in January and February. Estimates for April and March were corrected to -0.78% and -0.35% respectively. Since inception in January 2009, the index grew 59.4% and outperformed both the global stock market and hedge fund indices.


Over the last 12 months, the index lost 2.49% with 8 negative and 4 positive months, compared to losses of 3.95% for the Eurekahedge Hedge Fund Index and 13% for the MSCI World Index.



Last month's loss was driven by hedge funds: The Emanagers Hedge Fund Index lost 2.05% and is now up 3.01% year-to-date.


All strategies lost in May, with relative value funds performing best (-0.03%) and long-bias equity hedge funds performing worst (-5.46%). On a year-to-date level, event-driven strategies lead the ranking (+7.52%), followed by relative value (+4.01%), equity long-short (+3.80%), equity long-bias (3.58%), global macro (-0.11%) and multi-strategy funds (-0.46%).


Managed futures strategies, on the other hand, had their best month since December 2010. Funds tracked by the Emanagers CTA Index were able to profit from the volatile markets in May and gained 2.19%. For the year 2012, however, managed futures strategies are down 1.85%.


A comparison of Emanagers indices with the Eurekahedge Hedge Fund Index and the Newedge CTA Index shows that new managers performed worse than their established peers this year.



12-month rolling performance data indicates that managed futures strategies were a hedge against stock market risks with a correlation coefficient of around -0.5. Relatively low volatility led to an MSCI-beta of -11%, compared to +45% for Emanagers hedge funds.



- Florian Guldner, Opalesque Research