Salus Alpha Commodity Arbitrage returned 2.87% in February
The Salus Alpha Commodity Arbitrage had a performance of +2.87% for the month to date.outperforming the Dow Jones UBS Commodity Index by 1.56% during the reporting period, which earned 1.31%. The performance of Salus Alpha Commodity Arbitrage was 2.15% better than the performance of HFRX Systematic Diversified Index.
Salus Alpha Commodity Arbitrage tracks the CAX - Commodity Arbitrage Index. The CAX Index covers the performance of arbitrage strategies, which aim to extract consistent market neutral returns from valuation inefficiencies arising among related commodities - like for example Brent Crude vs. WTI Light Sweet Crude - or among different maturities of futures contracts on one commodity due to Contango, Backwardation and Seasonality.
Contango denotes a market situation where longer-dated commodity futures are priced higher than shorter-dated commodity futures. Markets in contango are characterised by low demand relative to available supply. In these markets, investors holding a long position suffer a roll loss when selling expiring contracts at low prices, and buying new contracts as higher prices. The CAX Index currently has a 10.00% spread position in Lean Hogs, which is currently 10.44% p.m. contangoed.
The Salus Alpha Managed Futures had a performance of +2.60% for the month to date. The 12 month rolling alpha of Salus Alpha Managed Futures to the S&P500 is 7% p.a., the 12 month rolling beta is currently 0.2. This implies that in the past 12 months, the fund had a return of approximately 7% due to active management (alpha), and 0.18% return due to the positive market beta. The fund's performance was 1.61% better than the performance of the HFRX Macro Index for the period.
The CTAs, Global Macro and FX Managers in the Salus Alpha Managed Futures portfolio profited by continuing trends in Financials and FX.
The Salus Alpha Multi Style had a performance of +1.64% for the month to date. The fund's performance was 0.86% above the performance of HFRX Global Index for the period.
The Salus Alpha Equity Hedged had a performance of +1.44% for the month to date. The 12 month rolling alpha of Salus Alpha Equity Hedged to the S&P500 is 3% p.a., the 12 month rolling beta is currently -0.1. This implies that in the past 12 months, the fund had a return of 3% due to active management (alpha). The Fund outperformed the HFRX Equity Hedge Index by 1.16%.
The Salus Alpha Equity Hedged currently has a 35% exposure to Long Bias, 10% to Market Neutral, 13% to Long Short Variable Bias, and 43% to Short Bias.
The Salus Alpha Directional Markets had a performance of +0.38% for the month to date. The 12 month rolling alpha of Salus Alpha Directional Markets to the S&P500 is 8% p.a., the 12 month rolling beta is currently 0.1. This implies that in the past 12 months, the Salus Alpha Directional Markets had a return of approximately 8% due to active management (alpha), and 0.08% return due to the positive market beta.
The Salus Alpha RN Special Situations had a performance of +0.24% for the month to date.
The Salus Alpha Real Estate had a performance of +0.01% for the month to date. Salus Alpha Real Estate is a single manager single strategy fund, which invests according to Salus Alpha’s proprietary Global Real Estate Model.
The current volatility in the Real Estate markets is above the model’s risk threshold. The fund therefore has no allocation to equities and is invested exclusively in risk neutral assets.
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