Tag Archives: united-states

HYG Junk Bond ETF Continues Lower As Oil Prices Fall

The high-yield junk bond ETF (NYSEARCA: HYG ) continues to trend lower, and Monday’s drop of 0.7% left it at a new multi-year low. As HYG’s price moves lower, its yield moves higher, but at 5.8%, the yield is still half of what it was at the start of the equity bull market in early 2009. Investors look for the “risky” equity market to trend in the same direction as the junk bond market, but clearly that hasn’t been the case over the last 18 months or so. As “junk” has fallen, the S&P 500 has continued to trend slightly higher. The reason is because of the drop in oil prices. High-yield debt in the Energy sector accounts for a large portion of the drop in the broad high-yield debt market, but stock price drops in the Energy sector haven’t been enough to move the needle significantly lower for the broad S&P 500. Below is a chart of the price of oil compared to the HYG junk-bond ETF. They have tracked each other very closely recently. We covered this topic in more detail in Monday’s Chart of the Day (subscription required). (click to enlarge)

New TCW Gargoyle Fund Aims To Outperform BXM Buy-Write Strategy

By DailyAlts Staff For investors looking for long-term results superior to the S&P 500 but with reduced risk, TCW and the Gargoyle Group may have a new solution: The TCW/Gargoyle Dynamic 500 Fund (MUTF: TFDIX ), which launched on December 1. The is the second alternative mutual fund to be launched by the two groups in combination with each other (the first was a reorganization of an existing fund ). The new fund seeks to outperform U.S. equities with less risk by selling covered calls against a long position in the S&P 500, with a target net-long market exposure of 50%. The strategy is similar to the well-known BXM Index Buy-Write strategy, but with a “crucial difference” that, according to Gargoyle, can give investors a significant edge. Dynamic Exposure Management The big difference? Unlike the BXM Index, which has a static options position that is re-written each month, Gargoyle dynamically adjusts its options hedge to maintain consistent market exposure between 35% and 65% net long. These adjustments can result in greater downside protection and increased upside participation relative to static buy-write strategies, according to Gargoyle. According to Gargoyle’s website , the investment strategy (not the fund) significantly outperformed the BXM Index since being calculated as the D500 Client Portfolio in August 2012. Through February 2015, the ending period shown on the website, the portfolio returned 29.54% through February 2015, compared to BXM’s 20.33%. The D500’s standard deviation of 4.61% was lower than BXM’s 5.66%, resulting in a Sharpe ratio advantage of 2.19 to 1.29, and a Sortino Ratio edge of 5.26 to 2.72. Fund Details The fund is officially advised by TCW Investment Management, and sub-advised by Gargoyle. Joshua B. Parker and Alan L. Salzbank, both Managing Members at Gargoyle, are the fund’s portfolio managers. Shares of the new fund are available in I (TFDIX) and N (MUTF: TFDNX ) classes, with respective initial minimum investments of $100,000 and $5,000. The investment management fee for both share classes is 0.80%, while the net-expense ratios run 1.00% and 1.25%, respectively, after fee waivers. Past performance does not necessarily predict future results.

Fund Liquidations: AB, Visium And Thomas Crown

By DailyAlts Staff In this edition, filings from: AB Market Neutral Strategy U.S. Fund (MUTF: AMUIX ) Visium Event Driven Fund (MUTF: VIDVX ) Thomas Crown Global Long/Short Equity Fund (MUTF: TCLSX ) AB Market Neutral Strategy U.S. Fund The Board of Directors of AB Cap Fund, Inc. voted to liquidate the AB Market Neutral Strategy U.S. Fund at a meeting held on September 24. The next day, the fund suspended most sales of its shares pending the liquidation. Existing shareholders had until November 30 to redeem their shares, according to a filing with the Securities and Exchange Commission (“SEC”). Liquidations were expected to be complete by December 2. According to Bloomberg , shares of the AB Market Neutral Strategy U.S. Fund stopped trading at $9.85 on December 1. The fund’s 52-week range was $9.41 to $10.17, with its all-time high of $10.49 dating back to June 2012. Visium Event Driven Fund In a November 19 supplementary filing with the SEC, the Board of Trustees for Visium Asset Management announced their decision to terminate the Visium Event Driven Fund ( VIDVX ). The fund stopped taking new investments as of November 19 and was fully liquidated as of November 27. The fund, which originally launched in December 2000, closed its final day of trading at $9.03, according to Bloomberg , down from a high of $11.04 set in July 2014. Thomas Crown Global Long/Short Equity Fund On November 4, Thomas Crown Capital announced the liquidation of its Thomas Crown Global Long/Short Equity Fund ( TCLSX ), which we wrote about upon its launch. The fund stopped taking on new investors the following day and planned to be fully liquidated by November 13. Shares of the fund traded for the final time at $9.03 on November 27, according to Bloomberg . It had only launched on New Year’s Eve 2014, and reached a high of $10.27 in March. From August 14 to October 30, TCLSX fell from $10.14 to $9.35 and never recovered.