Sun, Feb 1, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyster Watson Alpha Indices show large September gains for Asia (+5.60%) and emerging markets (+5.60%) hedge funds

Tuesday, October 19, 2010
Opalesque Industry Update - LW / True Alpha Hedge Fund Indices, presented below, are a series of non-investable benchmarks designed to be a representative composite of randomly generated portfolios of hedge fund strategy peers, factoring in both volatility and return. The performance of these indices are not reflective of discretionary fund-of-funds portfolios, nor are they intended as benchmarks for fund-of-funds portfolios.

 

 

 

Returns

Volatility

Sharpe Ratio

 

Strategy Indices

MTD

YTD

1-Year

1-Year

5-Year

 

Directional

 

 

 

 

 

 

LW/True Alpha Credit Fixed Income Index

1.10%

9.64%

15.76%

4.89%

0.71

 

LW/True Alpha Directional Macro Index

3.00%

4.16%

5.27%

3.81%

1.29

 

LW/True Alpha Long/Short Equity Developed Asia Index

5.60%

5.55%

8.39%

10.04%

0.47

 

LW/True Alpha Long/Short Equity Emerging Market Index

5.60%

8.41%

14.59%

10.84%

0.70

 

LW/True Alpha Long/Short Equity Global Index

5.27%

4.63%

7.47%

9.09%

0.44

 

LW/True Alpha Long/Short Equity North America Index

5.24%

4.82%

8.48%

10.27%

0.34

 

LW/True Alpha Long/Short Equity Western Europe Index

3.10%

2.88%

3.47%

6.47%

0.38

 

Event-Driven

 

 

 

 

 

 

LW/True Alpha Distressed Investment Index

3.10%

11.98%

19.84%

6.64%

0.49

 

LW/True Alpha Event Equity Index

4.00%

8.23%

13.61%

7.18%

0.46

 

Relative Value

 

 

 

 

 

 

LW/True Alpha Convertible Arbitrage Index

3.14%

9.19%

13.55%

5.98%

0.45

 

LW/True Alpha Market Neutral Equity Index

1.01%

1.16%

1.58%

1.74%

0.46

 

LW/True Alpha Volatility Arbitrage Index

3.00%

5.64%

7.99%

4.49%

1.60

 

Background: Lyster Watson & Company established a diverse selection of single manager hedge fund strategy indices for use with our proprietary True Alpha rating and ranking system (US Patent No. 7,707,092), which also served as a source of research, revealing that certain hedge fund strategies can provide optimal hedge fund replication solutions, an investment strategy separate from our fund-of-hedge-funds portfolios.

Source

kb

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: Ex-Citi trader launches 'sleep-at-night’ long/short equity fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: After working at Citi's proprietary trading desk, managing a large portfolio between 2008 and 2011, Joel S. Salomon founded SalaurMor Management in New Yor

  2. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  3. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  4. Update: Prosecutors seek 12 years for hedge fund manager Francisco Illarramendi[more]

    Komfie Manalo, Opalesque Asia: Federal prosecutors have asked the court to sentence convicted hedge fund manager Francisco Illarramendi to 12 years imprisonment for running an elaborate Ponzi scheme that bilked investors hundreds of millions in dollars, including a Venezuelan pension fund, report

  5. Institutions - Ontario pension fund leader calls all asset classes ‘expensive’, Taiwan's BLF plans $2bn in alternative mandates[more]

    Ontario pension fund leader calls all asset classes ‘expensive’ From WSJ.com: The head of one of the world’s largest pension funds said that across asset classes, “everything is expensive.” Ron Mock, who leads Canada’s $141 billion Ontario Teachers’ Pension Plan, said that the plan would