Mon, May 25, 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. Comment - Top hedge fund managers talk about how easy their jobs have gotten, BlackRock to Schroders warn of Argentina’s $20bn bond glut, The 35-year “investment supercycle” is drawing to a close, says Bill Gross, Gundlach: When the Fed starts hiking rates, 'GET OUT' of this asset class[more]

    Top hedge fund managers talk about how easy their jobs have gotten From Businessinsider.com.au: Time was, before the financial crisis hit, corporate boards treated multi-billion dollar hedge fund managers like Jehovah’s Witnesses pounding on their doors and flashing bibles. But no more.

  2. T Rowe's challenge to Dell deal may fuel critics of 'appraisal'[more]

    From Reuters.com: An increasingly popular tactic used by hedge funds and others to extract more money from buyouts could soon face a major courtroom test when a big investor in Dell Inc may argue that it should be paid a higher price for the 2013 acquisition of the PC maker. The strategy, known as "

  3. News Briefs - Ergen says LightSquared plan unfairly favors hedge funds, Why hedge fund managers make good advisory clients, I learned a lot about dad-bros after spending 4 days in Vegas with 2,000 hedge funders[more]

    Ergen says LightSquared plan unfairly favors hedge funds LightSquared Inc.’s bankruptcy plan gives hedge funds that invested in the broadband company a leg up while blocking telecommunications firms from competing with it, a fund owned by Dish Network Corp. Chairman Charles Ergen said in

  4. Opalesque Exclusive: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  5. New market regime has created more dispersion between managers[more]

    Komfie Manalo, Opalesque Asia: The month of April has marked the transition toward a new market regime, Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented in the May 5's Weekly Briefing. "The first quart

 

banner