Mon, May 2, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyster Watson Credit Fixed Income Index down -1.03% in September (+1.62% YTD)

Tuesday, October 18, 2011
Opalesque Industry Update - Hedge funds demonstrated their directional sensitivity to beta once again in September, as all strategies except Volatility Arbitrage posted losses. Equity strategies in particular posted losses about half as large as their long-only corollaries.

With fewer than half of all funds reporting, declines in the Lyster Watson Long/Short Equity Indices ranged from -1.37% among Western European-focused funds to -8.75% for Emerging Markets managers. Funds focused on high yield bonds lost 1.03%, a small fraction of the decline in the prices of high yield bond indices.

Distressed Investment funds absorbed about half the loss of their sector, falling 3.87%. Event Equity managers avoided the worst of both debt and equity markets, but still lost 2.60%. Even Directional Macro, a strategy that often benefits from high volatility, dropped 54bp.

The 1.45% gain that Volatility managers posted reflects both their long exposure to their primary risk factor, volatility, but also their caution in expressing it in a month when it gained over 15% as measured by the medium-term VXZ Index ETF, and over 35% as measured by the shorter-term VXX Index ETF...Corporate website:Source

km

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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n