Opalesque Solutions

'Alternative Alternatives' investment funds up 0.95% in August (+3.09% YTD)

October 1, 2012

'Alternatives Alternatives' investment funds had another positive month in August, according to an estimation based on 722 single- and multi-manager funds currently listed in 25 categories in the Opalesque Solutions A SQUARE Fund Database (Source).

The Opalesque A SQUARE Index gained* 0.95% last month and is up 3.09% in 2012 through August. Estimates for July and June were corrected to +2.27% and -0.51%, respectively. The A SQUARE Funds of Funds Index gained 0.45%, bringing the year-to-date result to -0.75%.

- Agriculture strategies again performed exceptionally well, with an average August gain of 4.45%. Base & precious metals strategies posted a result of 3.97%, followed by volatility strategies (+2.89%). Real estate funds also had a good month, returning 2.69%.

- Negative results were posted by Forex strategies (-0.85%) and environmental investment funds (-0.81%).

- In terms of year-to-date performance, the ranking is led by agriculture strategies (+25.29%), followed by real estate funds (+12.62%). Trade finance (+6.98%) and credit funds (+6.50%) also had a good year so far. Infrastructure strategies gained +5.93%. Negative 2012 results were reported by base & precious metals traders (-8.62%), as well as environmental (-2.77%) and collectibles funds (-1.94%).

A SQUARE database weighting by asset classes

Over the last year, the A SQUARE Index saw 7 negative and 5 positive months, and a compounded loss of 1.29%. The A SQUARE Funds of Funds Index lost 1.73% in the same period.

A SQUARE funds thus performed worse than both hedge fund and stock indices, which were able to profit from the recent stock market rally: The Eurekahedge Hedge Fund Index gained 0.70% since September 2011, and the MSCI World Index gained 5.63%.

12-month equity market correlation of A SQUARE Index was 68%, compared to 90% for the Eurekahedge Hedge Fund Index. The resulting betas are 19% and 25%.

* Estimated numbers of the last 3 months are based on a calculation conducted on the 27th of the actual month. Earlier results are locked.

Florian Guldner, Opalesque Research