|
|
|
|
|
Returns
|
Volatility
|
Sharpe Ratio
|
|
|
Strategy
Indices
|
MTD
|
YTD
|
1-Year
|
1-Year
|
5-Year
|
|
|
Directional
|
|
|
|
|
|
|
|
LW/True
Alpha Credit Fixed Income Index
|
1.10%
|
9.64%
|
15.76%
|
4.89%
|
0.71
|
|
|
LW/True
Alpha Directional Macro Index
|
3.00%
|
4.16%
|
5.27%
|
3.81%
|
1.29
|
|
|
LW/True
Alpha Long/Short Equity Developed Asia Index
|
5.60%
|
5.55%
|
8.39%
|
10.04%
|
0.47
|
|
|
LW/True
Alpha Long/Short Equity Emerging Market Index
|
5.60%
|
8.41%
|
14.59%
|
10.84%
|
0.70
|
|
|
LW/True
Alpha Long/Short Equity Global Index
|
5.27%
|
4.63%
|
7.47%
|
9.09%
|
0.44
|
|
|
LW/True
Alpha Long/Short Equity North America Index
|
5.24%
|
4.82%
|
8.48%
|
10.27%
|
0.34
|
|
|
LW/True
Alpha Long/Short Equity Western Europe Index
|
3.10%
|
2.88%
|
3.47%
|
6.47%
|
0.38
|
|
|
Event-Driven
|
|
|
|
|
|
|
|
LW/True
Alpha Distressed Investment Index
|
3.10%
|
11.98%
|
19.84%
|
6.64%
|
0.49
|
|
|
LW/True
Alpha Event Equity Index
|
4.00%
|
8.23%
|
13.61%
|
7.18%
|
0.46
|
|
|
Relative Value
|
|
|
|
|
|
|
|
LW/True
Alpha Convertible Arbitrage Index
|
3.14%
|
9.19%
|
13.55%
|
5.98%
|
0.45
|
|
|
LW/True
Alpha Market Neutral Equity Index
|
1.01%
|
1.16%
|
1.58%
|
1.74%
|
0.46
|
|
|
LW/True
Alpha Volatility Arbitrage Index
|
3.00%
|
5.64%
|
7.99%
|
4.49%
|
1.60
|
|
Background: Lyster Watson & Company established a diverse selection of single manager hedge fund strategy indices for use with our proprietary True Alpha rating and ranking system (US Patent No. 7,707,092), which also served as a source of research, revealing that certain hedge fund strategies can provide optimal hedge fund replication solutions, an investment strategy separate from our fund-of-hedge-funds portfolios.