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Lyster Watson May hedge fund indices show hedge funds' struggle

Tuesday, June 21, 2011
Opalesque Industry Update - below are the May 2011 returns for the Lyster Watson Hedge Fund Strategy Indices

Hedge Fund Strategy Indices

Returns

Volatility

Sharpe Ratio

 

MTD

YTD

1-Year

1-Year

5-Year

DIRECTIONAL

 

 

 

 

 

Lyster Watson Credit Fixed Income Index

0.37%

4.91%

13.39%

2.29%

0.91

Lyster Watson Directional Macro Index

-1.57%

-0.70%

4.53%

4.45%

1.11

Lyster Watson Long/Short Equity Developed Asia Index

-1.92%

-0.66%

10.43%

6.81%

0.39

Lyster Watson Long/Short Equity Emerging Market Index

-2.34%

-0.14%

16.63%

7.99%

0.71

Lyster Watson Long/Short Equity Global Index

-0.92%

2.90%

12.95%

6.48%

0.49

Lyster Waston Long/ShortEquity North America Index

-0.69%

3.66%

14.50%

8.28%

0.48

Lyster Watson Long/Short Equity Western Europe Index

-1.07%

0.21%

9.76%

5.14%

0.41

 

 

 

 

 

 

EVENT DRIVEN

 

 

 

 

 

Lyster Watson Distressed Investment Index

-0.71%

4.49%

14.77%

4.82%

0.50

Lyster Watson Event Equity Index

0.11%

3.96%

12.11%

5.50%

0.57

 

 

 

 

 

 

RELATIVE VALUE

 

 

 

 

 

Lyster Watson Convertible Arbitrage Index

0.05%

2.74%

13.68%

3.51%

0.49

Lyster Watson Market Neutral Equity Index

0.35%

1.75%

3.78%

1.49%

0.53

Lyster Watson Volatility Arbitrage Index

2.27%

0.80%

9.84%

3.85%

1.66

 

 

 

 

 

 

Source

kb

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