Wed, 11/05/2011 - 13:51
All Salus Alpha funds recorded positive returns in April with the Salus Alpha Managed Futures fund leading the way with performance of +7.04% for the month, outperforming the S&P 500 Index by +4.19%.
The fund's performance was also 6.07% 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 Softs, Precious Metals, Industrial Metals, Financials, FX, Energy and Interest Rates.
The Salus Alpha Multi Style had a performance of +4.83% for the month to date, outperforming the S&P 500 Index by +1.98%. The 12 month rolling alpha of Salus Alpha Multi Style to the S&P500 is 4% pa, the 12 month rolling beta is currently 0.1. This implies that in the past 12 months, the fund had a return of approximately 4% due to active management (alpha), and 0.11% return due to the positive market beta. The fund's performance was 4.29% above the performance of HFRX Global Index for the period.
The Salus Alpha Equity Hedged had a performance of +2.52% for the month to date. The 12 month rolling alpha of Salus Alpha Equity Hedged to the S&P500 is 4% 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 4% due to active management (alpha). The Fund outperformed the HFRX Equity Hedge Index by 2.72%.
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 Commodity Arbitrage had a performance of +2.36% for the month to date.
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 Wheat, which is currently 32.53% pa contangoed.
The Salus Alpha Directional Markets had a performance of +1.78% for the month to date. The 12 month rolling alpha of Salus Alpha Directional Markets to the S&P500 is 6% 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 6% due to active management (alpha), and 0.07% return due to the positive market beta.
The Salus Alpha Event Driven had a performance of +1.18% for the month to date. The 24 month rolling alpha of Salus Alpha Event Driven to the S&P500 is 3% p.a., the 24 month rolling beta is currently 0.0. This implies that in the past 24 months, the fund had a return of 3% due to active management (alpha). The fund's performance for the period was 0.31% higher than the performance of the HFRX Event Driven Index.
The Salus Alpha RN Special Situations had a performance of +1.00% for the month to date.
The SA FX Strategies had a performance of +0.77% for the month to date. SA FX Strategies outperformed the FTSE Hedge CTA/Managed Futures Index by 0.76% in the reporting period. The product's result surpassed the result of the Dow Jones/Credit Suisse AllHedge Managed Futures Index by 0.47%, which had a return of 0.30%. The product outperformed the industry benchmark Barclay BTOP FX Index by 0.68%. The index had a return of 0.09%.
The FX Managers in the SA FX Strategies Portfolio profited by the USD's weakness vs Russian Rouble, Norwegian Krone, Canadian Dollar, Australian Dollar, Swedish Krone, British Pound, Swiss Franc, Singapore Dollar, Mexican Peso, Polish Zloty and Brazilian Real.
The Salus Alpha Real Estate had a performance of +0.40% 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 fund currently has an exposure of 29% to the Real Estate markets.
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