Sat, Jun 24, 2017
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. FinTech - Rise of robots: Inside the world's fastest growing hedge funds[more]

    From Bloomberg.com: Believe the hype. Quants have never been more popular. After doubling over the past decade, assets run by so-called systematic funds have hit a record $500 billion this year, according to estimates from Barclays Plc. In some ways, their meteoric rise is due to the same technolog

  2. Legal - Bond market concerns could scuttle Paulson's Fannie-Freddie plan[more]

    From Bloomberg.com: A hedge fund proposal for freeing Fannie Mae and Freddie Mac from U.S. control is poised to face stiff opposition from investors who say it risks wrecking the mortgage-bond market. The Moelis & Co. blueprint, which firms including Paulson & Co. and Blackstone Group LP sponsored,

  3. Other Voices: Are your pricing policies and procedures for less liquid instruments adequate?[more]

    Komfie Manalo, Opalesque Asia: The unrelated position mismarking incidents that quickly precipitated the closures of both Visium Asset Management and Marinus Capital have been recent focal points for market participants, but regulatory scrutiny of valuation choices for less liquid instruments is

  4. FinTech - AI hedge fund Numerai now live on Ethereum, Cryptocurrency hedge funds generate huge returns as bitcoin surges[more]

    AI hedge fund Numerai now live on Ethereum From Cryptoninjas.net: Back in February, Numerai announced numeraire (NMR), a cryptographic token to incentivize a new kind of hedge fund built by a network of data scientists. Earlier today, the Numeraire smart contract was officially deployed

  5. Investing - Advisors slash hedge fund positions, Theravance Biopharma is a top pick of investment guru Seth Klarman, As asset management industry grows a search for new revenue streams[more]

    Advisors slash hedge fund positions From Barrons.com: Financial advisors have cut wealthy clients' exposure to hedge funds by up to one third over the past 12 months, The Financial Times reports. Advisor firms in the FT's annual top-300 ranking have reduced their hedge fund allocation to