Tue, May 24, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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

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. Other voices: What current trends tell us about the future of the hedge fund industry[more]

    By: Don Steinbrugge, Agecroft Partners The following comments are excerpted from Agecroft Partners’ Don Steinbrugge’s presentation delivered at the 69th CFA Institute Annual Conference held on May 9th, 2016 in Montreal. In Mr. Steinbrugge’s session titled "What Current Trends Tell Us about th

  2. Investing - Steve Cohen boosted Sotheby’s stake to $86 million last quarter, Larry Robbins' hedge fund sells off all CHS, UHS hospital stocks, Tiger Global cut stakes in Amazon, JD.com, Apple last quarter, Invest in real estate near biotech hubs, Prudential’s Hyat says, Valeant: A hedge fund hotel wrecking ball[more]

    Steve Cohen boosted Sotheby’s stake to $86 million last quarter Billionaire trader and art collector Steve Cohen is on a buying spree of Sotheby’s shares. Cohen’s Point72 Asset Management acquired 1.2 million Sotheby’s shares, bringing its total to 3.2 million valued at $86.1 million at

  3. Legal - Boaz Weinstein wins round in fight with Canada’s PSP[more]

    From FT.com: Boaz Weinstein, the hedge fund manager credited with spotting JPMorgan’s “London Whale” in 2012, has won a round in a legal battle with Canada’s Public Sector Pension Investment Board that had become a test case of responsibilities when clients withdraw money. PSP sued Mr Weinstein and

  4. Regulatory - The latest Fannie and Freddie reform bill offers a bonanza for hedge funds[more]

    From WSJ.com: The latest housing finance reform bill making the rounds on Capitol Hill offers a bonanza for hedge funds seeking to cash in on their investments in Fannie Mae Mae and Freddie Mac—but the cost to taxpayers would be steep. Congressman Mick Mulvaney, the South Carolina Republican, introd

  5. West Virginia objects to Alpha Natural sale to hedge fund[more]

    From AP/Heraldcourier.com: West Virginia's environmental authority has filed an objection to the proposed $500 million sale of Alpha Natural Resources' assets to a hedge fund, arguing that the deal could leave the state holding hundreds of millions in reclamation liabilities. The Register-Hera