Rhode Island Employees’ Retirement System
Since inception, Aristeia has been successful in generating positive average net monthly returns during
months in which high yield credit returns were negative. In the thirteen months since the start of 2018
(39% of months) in which high yield credit returns have been negative, Aristeia has outperformed high
yield credit returns by a total of 29% and has been profitable in 69% of those months.*
Minimal portfolio market beta: Aristeia's defensively positioned portfolio displays minimal market beta. In recent
periods of market volatility, Aristeia's outperformance reflects the uncorrelated nature of its relative value strategy.
Period
Uncorrelated performance in high yield market weakness
2018-Q4
May 2019
Aug 2019
YTD 2020
(through 11/27)
AIL, Class A
net return*
ARISTEIA CAPITAL®
0.6%
0.9%
0.2%
17.09
High yield
credit return*
(7.2%)
(2.9%)
(1.5%)
(1.2%)
Select recent periods of high yield credit market volatility
Notes
A significant sell-off in high yield credit and equities (S&P-13.5%.
Oil's extreme 38% move lower drove a sharp credit decline of -27% for CCC-rated high yield energy.
Risk-off month led to increased single-name dispersion and a 20% widening of high yield credit
spreads.
Sell-off in high yield credit and equities (S&P-1.6%).
COVID-19 concerns and uncertainty about its impact and duration created unprecedented market
volatility. The resultant dislocated markets have created and continue to drive a persistently robust
opportunity set.
This information was prepared by Aristeia, and has not been audited or reviewed by any third party.
*High yield credit returns is the excess return over swaps of the ICE BofAML US Cash Pay High Yield Index (JOAO) and Aristeia net returns are for AIL, Class A. Aristeia returns are net of
management fees, fund expenses, and performance allocations. See note 6.
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