David Slavin, Managing Director of CogentHedge writes:
The first half of the year 2005 has been a roller-coaster ride for alternative investments. That may be good for amusement parks but most investors prefer something more consistent. Fortunately, for the year to date overall performance has been comfortably positive with all alternative investments in the CogentHedge database reporting results through June (currently 1700) showing an average gain of 1.625%.
Performance by investment strategy and sub-strategy is as varied as the policies and funds themselves. A quick review of the Cogent Dynamic Averages shows that Emerging Market Equity strategies are leading the pack - up +8.489% for the year - while the Convertible Arbitrage strategy remains the single worst-performing category for the year: down -6.797% through June. Convertible Arb funds are so far (with 48 reporting as of this moment) up +1% for the month of June. You may recall our analysis of this investment strategy in a prior newsletter.
Taken in aggregate, alternative investments have posted three positive months and three negative months so far this year. Results range from a high of 1.715% in June to a low of -1.444% in April. Rollercoaster, indeed!
The Cogent Dynamic Averages allow us to delve into these numbers. For instance, what is the range of reported June results by individual strategy? The largest standard deviations by investment strategy for the month of June 2005 are as follows:
| Investment Strategy | Standard Deviation | % Change | # Reporting |
| Options Strategies | 10.399% | 0.479% | 16 |
| Currency Trading | 5.408% | 3.454% | 38 |
| Futures Programs | 5.087% | 2.821% | 206 |
| Emerging Markets Equity | 3.341% | 2.756 | 51 |
| Global Macro | 3.257% | 1.463% | 89 |
| All Funds | 2.935% | 1.632% | 1820 |
| All Single Manager Funds | 3.146% | 1.720% | 1477 |
| All Multi-Manager Funds | 1.598% | 1.132% | 339 |
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