Opalesque Solutions

'Alternative Alternatives' investment funds lost 0.52% in February (+0.48% YTD)

April 2, 2013

'Alternative Alternatives' investment strategies experienced losses in February, according to an estimation based on 623 single- and multi-manager funds currently listed in 25 categories in the Opalesque Solutions A SQUARE Fund Database (Source).

After starting the year 2013 with significant gains, the Opalesque A SQUARE Index declined 0.52% in its second month, resulting in a year-to-date performance of +0.48%. Estimates for January and December were corrected to +1.01% and +0.58%, respectively. The A SQUARE Funds of Funds Index lost 0.28% in February and is up 0.81% in 2013.

  • The negative result in February was mainly driven by significant losses in the commodity investment sector, which accounts for approximately 45% of the total index weighting: Base & precious metals traders lost 9.83%, followed by all-commodity (-3.46%) and energy (-1.56%) strategies.
  • All other asset classes delivered flat-to-positive results, led by exotic ETF strategies with an average gain of 2.95%; funds with an environmental investing focus were up 1.52%. Infrastructure (+1.49%) and real estate (+1.36%) funds continued their positive trend in February, as well as collectibles investors with a gain of 1.11%.
  • Over the first two months this year, the top performing asset classes were exotic ETFs (+6.80%), infrastructure (+9.77%) and real estate (+2.23%), structured finance (+3.89%) and credit (+2.21%), environmental investments (+3.61%) as well as collectibles (+2.50%). Losses were suffered by base & precious metals (-11.59%), all-commodity (-1.36%) and equity derivatives traders (-2.00%).

A SQUARE database weighting by asset classes

Due to the difficult commodity market environment, A SQUARE funds performed worse than both hedge funds and the global stock market: The Eurekahedge Hedge Fund Index gained 0.19% in February (+2.30% YTD), while the MSCI World Index was up 0.22% (+5.35% YTD).

12-month rolling equity market correlation of A SQUARE Index funds significantly declined to 51%, compared to 80% for the Eurekahedge Hedge Fund Index. As a result, Opalesque calculated stock market betas of 15% for the A SQUARE Index and 22% for the Eurekahedge Hedge Fund Index.

Florian Guldner, Opalesque Research