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Industry Updates

Lyster Watson Indices perform positive across almost all strategies in February

Monday, March 21, 2011
Opalesque Industry Update - Initial estimates of hedge fund performance for February show strong positive performance across almost all strategies. Strong equity markets combined with stable interest rates to produce significant positive returns in both equity and debt-focused strategies. North American Long/Short Equity, Distressed Investment, Convertible Bond Arbitrage and Credit Fixed Income managers have the strongest returns through the first two months of the year, continuing the trends of 2010. Accommodative US monetary policy and economic recovery appear to be the common threads supporting this performance.

European and Developed Asian Long/Short Equity funds posted positive returns for February following slightly negative performances in per January, while EM Long/Short managers posted small additional losses. Directional Macro and Volatility Arbitrage were positive for the month but remain down slightly for the year.

Middle east turmoil and the economic effects of Japan's earthquake and Tsunami pose the first real threat to a continuation of this scenario since the European debt crisis erupted almost a year ago. March returns will reveal the extent to which managers have been able or unable to insulate themselves from changes in the underlying trends that have produced strong returns for the past year.

Hedge Fund Strategy Indices

Returns

Volatility

Sharpe Ratio

 

MTD

YTD

1-Year

1-Year

5-Year

DIRECTIONAL

 

 

 

 

 

Lyster Watson Credit Fixed Income Index

1.94%

3.80%

15.59%

4.67%

0.91

Lyster Watson Directional Macro Index

1.09%

-0.40%

6.09%

4.20%

1.20

Lyster Watson Long/Short Equity Developed Asia Index

0.59%

0.38%

13.02%

9.47%

0.42

Lyster Watson Long/Short Equity Emerging Market Index

-0.45%

-1.74%

13.93%

11.43%

0.64

Lyster Watson Long/Short Equity Global Index

1.63%

2.45%

13.18%

8.76%

0.49

Lyster Waston Long/ShortEquity North America Index

2.88%

3.69%

16.77%

10.07%

0.51

Lyster Watson Long/Short Equity Western Europe Index

0.72%

0.66%

9.61%

6.83%

0.37

 

 

 

 

 

 

EVENT DRIVEN

 

 

 

 

 

Lyster Watson Distressed Investment Index

1.61%

3.55%

19.28%

6.93%

0.59

Lyster Watson Event Equity Index

1.43%

2.24%

13.91%

7.16%

0.56

 

 

 

 

 

 

RELATIVE VALUE

 

 

 

 

 

Lyster Watson Convertible Arbitrage Index

1.79%

3.37%

16.41%

5.64%

0.54

Lyster Watson Market Neutral Equity Index

0.53%

0.65%

2.85%

1.82%

0.55

Lyster Watson Volatility Arbitrage Index

0.75%

-0.10%

6.55%

4.37%

1.81

 

 

 

 

 

 

Source

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