Financial Resource

The Opalesque A SQUARE Index declined an estimated* 0.55% in January, bringing the 12-month performance to +10.39%. The A SQUARE Funds of Funds Index posted an estimated loss of 0.37% in January, leading to a 12-month performance of 4.43%.

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. “Alternative Alternatives” funds underperformed their two benchmarks: Hedge funds tracked by the HFRI Fund Weighted Composite Index returned 0.48% in January (+11.8% over the last 12 months), while global equity markets, represented by the MSCI World Index, posted another strong month with a gain of 2.19% in January (+17.4% over the last 12 months).

Regarding 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 4.99% for the A SQUARE Index and 4.72% for the FoF Index, compared to 6.32% for the HFRI and over 19.82% 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 (0.21 and 0.74 respectively for the A SQUARE Index).

The funds listed in the A SQUARE database thus managed to meet their target of delivering steady returns with low correlation to ‘classic’ investment strategies.

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 11.18% in 2010 and 17.16% in 2007, 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 8.28%, compared to a HFRI decline of around 20%.

Tags: 0.55%, 12 months, 2010, 2011, absolute hedged, after, alternative, Alternatives, annualized standard deviation, benchmarks, beta, beta values, composite index, correlation, Crisis, decline, deviation, digit, double, downside, equity, Exception, financial crisis, FoF, fund, fund strategies, funds, global equity markets, hedge funds, HFRI, hfri fund weighted composite returns 2010-2011, Investment, investment funds, investment strategies, January, loss, manager, market risk, May, msci world index, negative, Opalesque, performance, protection, relative risk, result, returning, returns, risk, slightly, square index, Start, target, volatility, World, world market, year