Sat, Apr 25, 2015
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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  4. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

  5. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

 

banner