Salus Alpha reports January performance
By wendy Chothia Created 10/02/2011
The Salus Alpha Directional Markets had a performance of +0.25% for the month to date. The 12 month rolling alpha of Salus Alpha Directional Markets to the S&P500 is 8% pa, while 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 performance of Salus Alpha Directional Markets was 1.27% better than the performance of HFRX Systematic Diversified Index.
The Salus Alpha Event Driven had a performance of -0.18% for the month to date. 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 Salus Alpha Commodity Arbitrage had a performance of -0.31% for the month to date. The performance of Salus Alpha Commodity Arbitrage was 0.71% 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 Salus Alpha Multi Style had a performance of -0.49% for the month to date. The 12 month rolling alpha of Salus Alpha Multi Style to the S&P500 is 5% 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 approximately 5% due to active management (alpha), and 0.12% return due to the positive market beta.
The Salus Alpha RN Special Situations had a performance of -0.70% for the month to date. The Salus Alpha Managed Futures had a performance of -0.72% 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 SA FX Strategies had a performance of -1.13% for the month to date. The product outperformed the industry benchmark Barclay BTOP FX Index by 1.17%. The index had a return of -2.30%.
