Wed, May 22, 2013
A A A
Welcome Guest
Free Trial RSS
New! Family Office and Investor Database with 11,750 contacts
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

Article link

What do you think?
   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Banner
Today's Exclusives Today's Other Voices Banner More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing
  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Performance – Chenavari Investment holds off U.S. dominance to crack big league of top hedge fund performers, BlueCrest credit hedge fund makes gains despite European short bias, Sensato Asia-Pacific Fund up 15% YTD, says Japanese stock valuations are no longer attractive, ETF that follows hedge fund gurus is up 52% since inception less than a year ago[more]

    Chenavari Investment holds off U.S. dominance to crack big league of top hedge fund performers From Cityam.com: A boutique London-based hedge fund has smashed into the top three best performing funds in the world this year, breaking the dominance of US hedge fund managers, according to a

  2. Opalesque Exclusive: New research examines quantitative trend following as an equity risk hedge[more]

    Bailey McCann, Opalesque New York: New research from Nigol Koulajian founder and CIO, and Paul Czkwianianc, Head of Research at Quest Partners, a New York-based systematic fund, looks at how quantitative trend following could be used

  3. Fund Profile – Brazil’s Vinci sets sights on global partners[more]

    From eFinancialnews.com: Two years ago, Brazilian asset manager Vinci Partners decided to diversify its investments overseas. About 95% of its money was invested in Brazil. It set up an office in New York, formed Vinci USA as an incubator for emerging hedge fund managers and hired as its US chief ex

  4. Other Voices: Three 'game changers’ have limited contagion in European markets[more]

    This piece was authored by Melanie Rijkenberg, CFA, Associate Director, Pacific Alternative Asset Management Company Europe LLP. Since the start of the year we have seen a clear de-correlation in global markets and most n

  5. A hard asset niche fund that focuses on grain-based commodity arbitrage: A fund structure has been wrapped around a trading strategy that identifies structural inefficiencies within the grain complex - applies logistics to capture arbitrage opportunities. Initially will focus on the CIS markets
Click here for More about Opalesque Tracking
- A new, unique Premium Service -
  1. Penrich
  2. MS
  3. MGH
  4. NZARA
  5. 36 South
  1. Ucits
  2. global macro
  3. managed account
  4. asian hedge fund
  5. King Street