Tue, Jul 22, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyster Watson Indices show positive performance across most strategies, especially high yield and distressed corporate credit

Thursday, February 17, 2011
Opalesque Industry Update - Early January performance estimates show most strategies produced positive returns, especially those exposed to high yield and distressed corporate credit markets. Convertible Bond Arbitrage also posted very strong results as low rates on high yield debt increased investor demand for hybrid securities. Long/Short Equity strategies had mixed results, with the political upheaval in Egypt made EM and Western European indices slightly negative, while US-focused, Asian, and Global managers remained positive.

Event Driven and Market Neutral equity funds were modestly positive as were Volatility Arbitrage managers. Macro managers posted small losses as volatility declined for the month despite the slight increase that coincided with events in Egypt.

Overall the environment appears to remain positive for hedge funds in the large majority of strategies that benefit from low interest rates and declining volatility. Very low nominal yields on high yield debt, and rising prices of non-energy commodities continue to pose the greatest risks to those strategies, and the greatest challenge to managers of macro and volatility arbitrage funds.

Hedge Fund Strategy Indices

Returns

Volatility

Sharpe Ratio

 

MTD

YTD

1-Year

1-Year

5-Year

DIRECTIONAL

 

 

 

 

 

Lyster Watson Credit Fixed Income Index

1.92%

1.92%

14.20%

4.65%

0.86

Lyster Watson Directional Macro Index

-0.64%

-0.64%

6.58%

3.80%

1.15

Lyster Watson Long/Short Equity Developed Asia Index

0.04%

0.04%

12.63%

9.49%

0.4

Lyster Watson Long/Short Equity Emerging Market Index

-0.33%

-0.33%

16.58%

11.17%

0.68

Lyster Watson Long/Short Equity Global Index

0.81%

0.81%

12.35%

8.74%

0.45

Lyster Waston Long/ShortEquity North America Index

0.89%

0.89%

16.13%

9.97%

0.44

Lyster Watson Long/Short Equity Western Europe Index

-0.22%

-0.22%

8.01%

6.99%

0.4

 

 

 

 

 

 

EVENT DRIVEN

 

 

 

 

 

Lyster Watson Distressed Investment Index

1.61%

1.61%

18.22%

6.93%

0.57

Lyster Watson Event Equity Index

0.45%

0.45%

14.04%

7.22%

0.53%

 

 

 

 

 

 

RELATIVE VALUE

 

 

 

 

 

Lyster Watson Convertible Arbitrage Index

1.63%

1.63%

14.80%

5.70%

0.51%

Lyster Watson Market Neutral Equity Index

0.57%

0.57%

3.08%

1.82%

0.55%

Lyster Watson Volatility Arbitrage Index

0.62%

0.62%

9.36%

4.29%

1.93%

 

 

 

 

 

 

Source

(Press release)

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. Events – AIMA Australian Hedge Fund Forum, Sept. 16, Sydney[more]

    AIMA Australia invite you to join us at our annual Hedge Fund Forum on Tuesday 16th September 2014 at the Sofitel Sydney Wentworth. The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and internation

  2. The Big Picture: Party like it's 2007? Maybe not[more]

    Benedicte Gravrand, Opalesque Geneva: Are we on the verge of another crunch and partying unaware (bringing to mind Prince’s "1999" song). Some think that today’s financial environment – especially stock markets

  3. Long-only hedge funds hold key to emerging markets[more]

    From Risk.net: Addressing common institutional approaches to long-only emerging markets allocations, hedge funds are less volatile and produce higher returns than mutual funds or ETFs. Since the 2008 financial crisis, investors have flocked to emerging markets (EMs) for return generation as develope

  4. Opalesque Exclusive: Loeb, Grantham cite growing economic concerns in letters[more]

    Bailey McCann, Opalesque New York: Hedge fund manager Daniel Loeb, head of Third Point, and Jeremy Grantham of Grantham, Mayo, Van Otterloo & Co. have both released their quarterly investor letters today. While news is positive on some fronts, and both men see pockets of opportunity, they also h

  5. Investing – Hedge funds expect Netflix earnings to catapult forward, Third Point's Loeb takes stakes in Fibra Uno, YPF, Royal DSM, Lake Capital in talks to back Engine Group[more]

    Hedge funds expect Netflix earnings to catapult forward From Investing.com: Netflix has made major strides forward in 2014 despite ongoing battles with the FCC and cable companies over the issue of net neutrality. The FCC has now received over 500,000 comments from the public on its pend