Salus Alpha Equity Hedged returned 2.57% for the month to date
14/06/2011
The salus alpha equity hedged had a performance of +2.57% for the month to date, outperforming the s&p 500 index by +3.92%. The 12 month rolling alpha of salus alpha equity hedged to the s&p500 is 9% 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 9% due to active management (alpha). The fund outperformed the hfrx equity hedge index by 5.39%.
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 commodity arbitrage had a performance of +1.13% for the month to date, outperforming the s&p 500 index by +2.48%. The fund outperformed the dow jones ubs commodity index by 6.19% during the reporting period, which lost -5.06%, and it outperformed the s&p gsci index by 7.92%, which booked a loss of -6.79% in the reporting period. The performance of salus alpha commodity arbitrage was 3.60% 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 wheat, which is currently 46.62% p.a. Contangoed.
The salus alpha event driven had a performance of +0.54% for the month to date, outperforming the s&p 500 index by +1.89%. The 12 month rolling alpha of salus alpha event driven 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 5% due to active management (alpha). The fund's performance for the period was 1.07% higher than the performance of the hfrx event driven index.
The salus alpha real estate had a performance of -0.43% 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.
Salus alpha real estate has been awarded a 5 star rating by www.fondsprofessionell.de for its exceptional performance since inception on 21 january 2008. The fund outperformed the epra/nareit real estate index by +11.23% in this time span.
The salus alpha rn special situations had a performance of +2.47% for the year to date until 5/31/2011.
The sa fx strategies had a performance of -2.17% for the month to date. The performance of sa fx strategies was 0.30% better than the performance of hfrx macro index. The product outperformed the industry benchmark barclay btop fx index by 0.34%. The index had a return of -2.51%.
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.
The salus alpha multi style had a performance of +4.00% for the year to date until 5/31/2011. The fund's performance was 4.42% above the performance of hfrx global index for the period.
The salus alpha managed futures had a performance of +6.56% for the year to date until 5/31/2011. The fund's performance was 6.18% 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 soft’s.
The salus alpha directional markets had a performance of -1.18% for the year to date until 5/31/2011. The performance of salus alpha directional markets was 2.13% better than the performance of hfrx systematic diversified index.
