Mon, Oct 5, 2015
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


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. Performance - Hedge fund moguls Einhorn, Loeb, Rosenstein lose money in September, Risky strategy sinks small hedge fund[more]

    Hedge fund moguls Einhorn, Loeb, Rosenstein lose money in September From Billionaire stock pickers David Einhorn, Daniel Loeb and Barry Rosenstein on Wednesday told their wealthy investors they lost money in September as market turmoil inflicted more pain on some of America'

  2. Opalesque Exclusive: IRAs represent billions of untapped capital for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva: Retirement accounts might not be the first source that comes to mind for those looking to raise funds, but they may represent billions of untapped capital. Unlike traditional retirement accounts,

  3. Opalesque TV: One way to access market hedge funds in the EU under the AIFMD radar[more]

    Benedicte Gravrand, Opalesque Geneva: While the Cayman Islands, the US and Hong Kong await the pan-European marketing passport to be extended to alternative investment fund

  4. Vilas’ equity long bias hedge fund generates market-beating results[more]

    Komfie Manalo, Opalesque Asia: The Vilas Fund, an equity long bias fund managed by Chicago, Illinois-based Vilas Capital Management, posted five-year annualized returns, net of fees, of 23.47% vs. 15.87% for the S&P 500 Index, including divid

  5. Performance - Manager admits spin used to hide poor performance, Fortress macro hedge fund slumps 17.2% amid manager shakeup, In the hedge fund world, bigger is still better[more]

    Manager admits spin used to hide poor performance From … Colin McLean, managing director of SVM Asset Management, told FTAdviser that fund managers underperform all the time, so stories are often needed to mask or explain this. “People need to build a good framework