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Industry Updates

Market Neutral and Volatility Arbitrage only hedge fund strategies on Lyster Watson Index to notch positive June performance

Monday, July 18, 2011
Opalesque Industry Update - June was a disappointing month for all hedge fund strategies, except Market Neutral Equity and Volatility Arbitrage. The turmoil in European debt markets, the growing uncertainty about an increase in the US debt ceiling, concern about the sustainability of economic growth in the US, and fears of tightening in China and other emerging markets all conspired to weaken both high yield debt and equity markets. Long-biased credit and equity hedge fund strategies all lost money as a result. Discretionary Macro funds, that have focused to a large extent on the prospects for inflation and a weaker US dollar posed by loose monetary policies, lost money as well when rates fell on US government bonds and the US dollar rose in value.

Returns on most strategies remain positive for the year despite the weak Q2 performance, with the exceptions being those involved in emerging market equities and macro strategies. Distressed Investments continue to lead all strategies with a YTD gain of 4.22%. Market Neutral Equity funds appear to have weathered the month of June, precisely because of their lack of net exposure, and Volatility Arbitrage turned positive for the year, as the problems noted above eroded the confidence of investors globally.

Hedge Fund Strategy Indices

Returns

Volatility

Sharpe Ratio

 

MTD

YTD

1-Year

1-Year

5-Year

DIRECTIONAL

 

 

 

 

 

Lyster Watson Credit Fixed Income Index

-0.16%

4.73%

13.31%

2.34%

0.90

Lyster Watson Directional Macro Index

-1.10%

-1.92%

3.36%

4.78%

1.08

Lyster Watson Long/Short Equity Developed Asia Index

-0.86%

-1.34%

10.80%

6.65%

0.39

Lyster Watson Long/Short Equity Emerging Market Index

-1.70%

-1.51%

15.37%

8.31%

0.71

Lyster Watson Long/Short Equity Global Index

-0.92%

2.23%

13.75%

6.36

0.50

Lyster Waston Long/ShortEquity North America Index

-1.14%

2.02%

16.22%

7.53%

0.46

Lyster Watson Long/Short Equity Western Europe Index

-1.53%

-1.00%

9.45%

5.29%

0.41

 

 

 

 

 

 

EVENT DRIVEN

 

 

 

 

 

Lyster Watson Distressed Investment Index

-0.53%

4.22%

15.52%

4.55%

0.50

Lyster Watson Event Equity Index

-1.31%

2.53%

12.82%

5.29%

0.41%

 

 

 

 

 

 

RELATIVE VALUE

 

 

 

 

 

Lyster Watson Convertible Arbitrage Index

-1.01%

1.60%

12.24%

4.03%

0.47

Lyster Watson Market Neutral Equity Index

0.48%

1.76%

3.98%

1.43%

0.50

Lyster Watson Volatility Arbitrage Index

0.62%

0.39%

8.86%

3.38%

1.65

 

 

 

 

 

 

Source

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