Fri, Sep 19, 2014
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. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  4. Institutions - Adviser's faith in hedge funds unshaken by CalPERS' move Advisers weigh in on CalPERS’ decision, Gina Raimondo sees no reason to follow California’s lead, exit hedge funds, Danish pension funds step up 'alternative investments'[more]

    Adviser's faith in hedge funds unshaken by CalPERS' move From WSJ.com: Financial advisers who use hedge funds in their clients' portfolios say they aren't rethinking that approach after a huge California pension fund announced plans to exit the hedge-fund market. The decision by the Cali

  5. Short Selling - Notorious U.S. short-seller targets Alibaba[more]

    From Wantchinatimes.com: A notorious American short-seller appears to have "targeted" Chinese internet giant Alibaba on the eve of its historic public listing on the New York Stock Exchange, reports Chinese web portal Hexun. Alibaba's highly-anticipated listing on Friday could potentially be the big