Thu, Jan 19, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund index up 2% in September, 2.8% YTD

Monday, October 18, 2010
Opalesque Industry Update - The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up +2% in September, lifting year to date gains to 2.8%.

Financial markets featured strong trends during the month of September. US equities rallied hard, as did the USD prices of commodities (including precious metals) and foreign currencies such as the euro. Credit market returns were positive but less extreme, with High Yield posting larger gains than Investment Grade. Treasuries were virtually flat on the month.

The Event Driven space provided generally positive returns in September. The Lyxor Special Situations Index gained 4% on the back of equity and credit market gains (with some help from gold); it was the strongest performing Hedge Fund index over the month. Post-reorganization equities, for example, benefited from the positive environment. The Merger Arbitrage Index gained 1.9% as spreads tightened. The Distressed Index was up 0.5%.

The Lyxor L/S Equity Long Bias Index was up 3.9% on the month. Long Bias managers had maintained their exposures during the latter part of the summer and were thus poised to benefit from September’s solid gains in sectors such as basic materials and commodities. The L/S Equity Variable Bias Index was up 1%. Many managers in this space remain defensively positioned despite increasing net exposures over the month of September.

The L/S Equity Market Neutral and Statistical Arbitrage Indexes were both up 0.1%. The Market Neutral Index is the best performing L/S Equity Index year-to-date (+1.6%), reflecting some persistent trends within equities (e.g., Value vs. Growth). Life remains difficult for Statistical Arbitrage managers (the Index is down 2% year-to-date), as correlations among stock returns remain at historically extreme levels and volatility is low.

The Lyxor Long-Term CTA Index continues its run of solid performance, gaining 2.1% (+6.7% on the year). Many of these managers benefited from the persistent equity, commodity, and FX trends. The Short-Term CTA Index was up 0.5%, although the year-to-date performance of 0.4% signals the difficulty some of the managers in this space have experienced. Significant performance dispersion among Short-Term CTAs continues.

The Lyxor Global Macro Index was up 2.5%. Managers with a long commodity bias or short dollar bias readily found traction with these themes.

(press release)

www.lyxorhedgeindices.com


Bg

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. The Big Picture: The case for emerging market debt in 2017[more]

    Benedicte Gravrand, Opalesque Geneva: Emerging market (EM) assets outperformed in 2016 mainly because of stronger fundamentals and an improving international environment, with GDP picking up speed, leading to positive earnings revisions for the first time in five years,

  2. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  3. Short Selling - Long-short hedge funds are ditching the shorts to focus on longs[more]

    From Bloomberg.com: What happens when you take the "short" out of a long-short trading strategy? Some hedge funds are about to find out. Equity long-short fund managers, the biggest category in hedge funds, hold the fewest bearish stock bets on record, data compiled by Credit Suisse Group AG s

  4. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  5. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee