Opalesque Ltd., a leading provider of online information services to the alternative investment industry, 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 605 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* 0.14% in March after an estimated gain of 0.8% through February, bringing the year-to-date performance to +0.66%.
The A SQUARE Funds of Funds Index performed almost flat in March with a loss of 0.08% after gaining an estimated 0.94% through February. Year-to-date, the index gained 0.86%.
Over the last 12 months, performance of the A SQUARE Index ranged between a gain of 3.12% in September 2010 and a loss of 1.97% in May 2010, with 9 positive and 3 negative months. In a difficult month affected by political unrests in the MENA region and the Japan quake, "Alternative Alternatives" funds performed similar to hedge funds: The HFRI Fund Weighted Composite Index returned 0.01% in March (+9.98% over the last 12 months). The MSCI World Index, however, posted a loss of 1.24% in March (+12.34% over the last 12 months).
In terms of absolute and relative risk, both the A SQUARE Index and the A SQUARE Funds of Funds Index did better than their benchmarks over the analyzed 12-month period: Volatility (defined as annualized standard deviation) was 5.05% for the A SQUARE Index and 5.21% for the FoF Index, compared to 6.18% for the HFRI and over 19.54% for the MSCI World. The maximum drawdowns in the last 12 months were 2.35% for the A SQUARE Index and 3.12% for the A SQUARE Funds of Funds Index, compared to 3.84% for the HFRI and 13.7% for the MSCI World.
Market risk, measured by the corresponding beta values, was low for both A SQUARE indices, a result of the small volatility and low correlation of the funds listed in the A SQUARE database with both equity markets and hedge fund strategies (0.22 and 0.79 respectively for the A SQUARE Index).
Historically, the A SQUARE single manager funds delivered steady, double-digit returns from 2004 to 2010 (with the exception of the financial crisis year 2008), ranging between 10.94% in 2010 and 14.85% in 2005, and outperforming the HFRI Fund Weighted Composite Index four times. During the crisis year of 2008, the A SQUARE Index provided significant downside protection, ending the year 2008 down 5.87%, compared to a HFRI decline of around 20%.
* 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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