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Salus Alpha products outperform equity markets

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In the current quarter, all Salus Alpha Funds  outperformed global equity markets in what has been a difficult environment. Salus Alpha Managed Futures led the way with a gain of 4.89% in the current quarter, while the US S&P 500 Index lost 2.15%, and the German DAX30 index declined 2.95% in the same period.

The 24 month rolling alpha of Salus Alpha Managed Futures compared to the S&P500 is 5% p.a, while the 24 month rolling beta is currently 0.2. This implies that in the past 24 months, the fund had a return of approximately 5% due to active management (alpha), and 0.40% return due to the positive market beta. The fund’s performance was 4.50% 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 Directional Markets had a performance of +4.64% for the month to date, outperforming the S&P 500 Index by 6.79%. The 12 month rolling alpha of Salus Alpha Directional Markets to the S&P500 is 4% p.a., the 12 month rolling beta is currently 0.2. The performance of Salus Alpha Directional Markets was 2.34% better than the performance of HFRX Systematic Diversified Index.
 
The Salus Alpha Multi Style had a performance of +3.92% for the month to date, outperforming the S&P 500 Index by 6.07%. The fund’s performance was 4.05% above the performance of HFRX Global Index for the period.
 
The Salus Alpha Equity Hedged had a performance of 0.76% for the month to date, outperforming the S&P 500 Index by +2.91%. The 12 month rolling alpha of Salus Alpha Equity Hedged to the S&P500 is 8% p.a., the 12 month rolling beta is currently -0.2. The Salus Alpha Equity Hedged currently has a 40% exposure to Long Bias, 23% to Market Neutral, 7% to Long Short Variable Bias,  and 30% to Short Bias.
 
The Salus Alpha Event Driven had a performance of +0.74% for the month to date, outperforming the S&P 500 Index by 2.89%. The 12 month rolling alpha of Salus Alpha Event Driven 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’s performance for the period was 1.26% higher than the performance of the HFRX Event Driven Index.
 
The Salus Alpha RN Special Situations had a performance of +0.09% for the month to date, outperforming the S&P 500 Index by 2.24%. The fund’s performance for the period was 0.61% higher than the performance of the HFRX Event Driven Index.
 
The Salus Alpha Real Estate had a performance of -0.02% for the month to date, outperforming the EPRA / NAREIT Index by +1.97%. Salus Alpha Real Estate is a single manager single strategy fund, which invests according to Salus Alpha’s proprietary Global Real Estate Model. The Salus Alpha Real Estate outperformed the EPRA/NAREIT Real Estate Index by 1.97% during the month of July. 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.
 
The Salus Alpha Commodity Arbitrage had a performance of +8.71% for the year to date until 7/29/2011, outperforming the S&P 500 Index by 5.96%. The fund outperformed the S&P GSCI Index by 0.12%, which booked a gain of 8.59% in the reporting period. The 12 month rolling alpha of Salus Alpha Commodity Arbitrage to the S&P500 is 8% p.a., the 12 month rolling beta is currently 0.0. This implies that in the past 12 months, the Salus Alpha Commodity Arbitrage had a return of approximately 8% due to active management (alpha), and 0.01% return due to the positive market beta. The performance of Salus Alpha Commodity Arbitrage was 12.70% 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.

The SA FX Strategies had a performance of -0.67% for the month to date, outperforming the S&P 500 Index by +1.48%. 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 managers incurred losses due to the Dollar’s strength vs. New Zealand Dollar, and due to the USD devaluation vs. Euro, Japanese Yen and Danish Krone.

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