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 708 single- and multi-manager funds currently listed in 22 categories in the Opalesque Solutions A SQUARE Fund Database (Source).
The Opalesque A SQUARE Index lost 0.93% in December, leading to a total 2011 loss of 7.14%. Estimates for November and October were corrected to -1.05% and +0.56% respectively.
The A SQUARE Funds of Funds Index finished the year with a positive month (+0.96% in December), resulting in a total 2011 loss of 4.69%.
| 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 |
-2.49 |
-2.87 |
0.56* |
-1.05* |
-0.93* |
-7.14 |
| 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 |
0.49* |
-0.47* |
0.96* |
-4.69 |
| 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 |
Returns over the last 12 months experienced a strong negative bias and ranged between +1.86% in April and -2.87% in September, with 8 negative and 4 positive months. 'Alternative alternatives' funds performed significantly worse than hedge funds in 2011, but managed to outperform the global stock market with hedge fund-like volatility.
| 12 month performance and volatility (%) |
|
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
Vol |
| A SQUARE Index |
-0.19 |
0.99 |
-0.34 |
1.86 |
-1.83 |
-1.96 |
1.01 |
-2.49 |
-2.87 |
0.56 |
-1.05 |
-0.93 |
-7.14 |
5.24 |
| A SQUARE FoF Index |
-0.61 |
1.55 |
-0.08 |
0.99 |
-2.03 |
-2.63 |
0.63 |
-1.72 |
-1.77 |
0.49 |
-0.47 |
0.96 |
-4.69 |
4.77 |
| Eurekahedge HF Index |
0.25 |
0.99 |
0.20 |
1.41 |
-1.02 |
-1.18 |
0.39 |
-2.45 |
-3.10 |
1.85 |
-1.13 |
-0.26 |
-4.10 |
5.19 |
| MSCI World |
2.19 |
3.33 |
-1.24 |
4.02 |
-2.45 |
-1.73 |
-1.89 |
-7.27 |
-8.85 |
10.26 |
-2.67 |
-0.17 |
-7.60 |
17.66 |
'Alternative Alternatives' funds were less strongly correlated with the stock market than hedge funds, resulting in lower equity market betas of 23% and 17% respectively. Funds of funds offered downside protection to some extend, even though they had their worst year since Opalesque started tracking A SQUARE fund performances.
| 12-month Beta: Covariance / Portfolio Variance |
| Portfolio |
Benchmark |
| A SQUARE Index |
A SQUARE FoF Index |
Eurekahedge HF Index |
|
| 0.9355 |
0.7088 |
1.0000 |
Eurekahedge HF Index |
| 0.2273 |
0.1677 |
0.2732 |
MSCI World |
With the exceptions of 2008 and 2011, 'Alternative Alternatives' funds in Opalesque's A SQUARE database delivered steady, double-digit returns, ranging between 11.38% in 2010 and 15.78% in 2005, outperforming hedge funds every year except for 2009 and 2011.
A SQUARE database statistics
Investment categories
Fund domicile
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