Opalesque Ltd., a leading provider of online information services to the alternative investment industry, today announced the results of the Opalesque A SQUARE ('alternative-alternatives') indices covering the performance of niche alternative investment funds. The indices are calculated based on the net performance of 711 single- and multi-manager funds currently listed in 23 categories in the Opalesque Solutions A SQUARE Fund Database (Source).
The Opalesque A SQUARE Index lost* 0.5% in November, increasing the year-to-date loss to 5.69%. Estimates for October and September were corrected to +0.62% and -2.87% respectively.
The A SQUARE Funds of Funds Index performed slightly better, with a November loss of 0.36%, leading to a total year to date loss of 5.84%.
| Historical performance in % |
|
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
|
|
|
|
|
|
|
|
|
A SQUARE Index |
|
| 2011 |
-0.19 |
0.99 |
-0.34 |
1.86 |
-1.83 |
-1.96 |
1.01 |
-2.48 |
-2.87* |
0.62* |
-0.5* |
|
-5.69 |
| 2010 |
-0.19 |
0.77 |
1.37 |
0.64 |
-1.97 |
-0.38 |
0.97 |
0.53 |
3.12 |
2.41 |
0.79 |
2.88 |
11.38 |
|
|
|
|
|
|
|
|
|
A SQUARE FoF Index |
|
| 2011 |
-0.61 |
1.55 |
-0.08 |
0.99 |
-2.03 |
-2.63 |
0.63 |
-1.72 |
-1.77* |
0.5* |
-0.36* |
|
-5.48 |
| 2010 |
-1.05 |
-0.13 |
0.19 |
0.35 |
-2.05 |
-1.07 |
0.61 |
0.13 |
2.29 |
2.25 |
-0.15 |
3.03 |
4.36 |
Over the last 12 months, performance of the A SQUARE Index ranged between a gain of 2.88% in December 2010 and a loss of 2.87% in September, with 5 positive and 7 negative months, adding to a performance of -2.98%. Although 'Alternative Alternatives' funds did better than hedge funds and global stocks in November, they underperformed over the last year.
| 12 month performance and volatility (%) |
|
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
YTD |
12-mon |
Vol |
| A SQUARE Index |
2.88 |
-0.19 |
0.99 |
-0.34 |
1.86 |
-1.83 |
-1.96 |
1.01 |
-2.48 |
-2.87* |
0.62* |
-0.5* |
-5.69 |
-2.98 |
6.23 |
| A SQUARE FoF Index |
3.03 |
-0.61 |
1.55 |
-0.08 |
0.99 |
-2.03 |
-2.63 |
0.63 |
-1.72 |
-1.77* |
0.5* |
-0.36* |
-5.48 |
-2.62 |
5.75 |
| Eurekahedge HF Index |
2.75 |
0.23 |
0.99 |
0.18 |
1.39 |
-1.04 |
-1.17 |
0.36 |
-2.49 |
-3.11 |
1.84 |
-0.97 |
-3.84 |
-1.22 |
6.01 |
| MSCI World |
7.25 |
2.19 |
3.33 |
-1.24 |
4.02 |
-2.45 |
-1.73 |
-1.89 |
-7.26 |
-8.85 |
10.26 |
-2.67 |
-7.44 |
-0.73 |
19.3 |
The disappointing 12-month performance of A SQUARE funds compared to hedge funds was driven by a higher volatility in the challenging year 2011. As expected, A SQUARE funds of funds experienced less volatility but nevertheless hardly managed to outperform the global stock market.
'Alternative Alternatives' funds had a significantly lower correlation with the global stock market than hedge funds, leading to lower equity market betas of approximately 26% and 21% despite the higher volatility.
| 12-month Beta: Covariance / Portfolio Variance |
| Portfolio |
Benchmark |
| A SQUARE Index |
A SQUARE FoF Index |
Eurekahedge HF Index |
|
| 0.9780 |
0.8232 |
1.0000 |
Eurekahedge HF Index |
| 0.2604 |
0.2125 |
0.2924 |
MSCI World |
Historically, "Alternative Alternatives" funds in Opalesque's A SQUARE database delivered steady, double-digit returns from 2004 to 2010, ranging between 11.38% in 2010 and 15.78% in 2005, and outperforming the Eurekahedge Hedge Fund Index each year except 2009.
A SQUARE database statistics:
Fund liquidity
Fund domicile
Florian Guldner, Opalesque Research
* Estimated numbers of the last 3 months are based on a calculation conducted on the 27th of the actual month. Earlier results are locked
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