Sat, Feb 6, 2016
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 + 1.4% in October, lifting YTD gains to 4.3%

Monday, November 15, 2010
Opalesque Industry Update - The Lyxor Global Hedge Fund Index, an investable index based on Lyxor’s hedge funds platform which tracks the overall hedge fund universe, was up + 1.4% in October, lifting year to date gains to 4.3%.

Financial markets continued a number of September’s strong trends into October, although the price trajectories were not quite as extreme. US equities posted solid gains, and some of the USD-related plays experienced very solid returns. For example, commodity indexes gained in the high single digits, the euro gained value, gold gained approximately 2%, and silver gained double digits. Long-dated Treasury yields rose sharply, but short and medium-dated paper was roughly flat on the month. Credit spreads declined; the net result was continued positive gains in the High Yield space. Anticipation of QE2, it almost goes without saying, was the dominant market concern. A less important event appeared to be the U.S. midterm election. Corporate earnings provided no major surprises.

October’s trends generally worked for futures-oriented managers. The Lyxor Global Macro Index gained 3% on the month, and the Lyxor CTA Long-Term Index gained 3.2% (taking the year-to-date return to 10.1%). Still-popular long positions in long-dated bond futures were a performance drag for many managers, but long positions in most other asset classes dominated the performances. The CTA Short-Term Index also posted a positive, albeit much more modest return of 0.7%.

Event-Driven managers typically lagged their macro-oriented peers. The Lyxor Merger Arbitrage Index gained 0.3%. The strategy was particularly impacted by spread widening for a well-known deal in the chemical sector; arbs had been pricing the deal very aggressively in anticipation of further bids. The Special Situations Index gained 1.8% in spite of declines in many financial firm shares. The Lyxor Distressed Index lose 0.5%.

The Lyxor Fixed Income Arbitrage Index lose 0.1% and the L/S Credit Index gained 2.2%, pushing its year-to-date performance to 10.6%. Managers in both strategies were able to benefit from gains in emerging markets debt and currency. The Lyxor Convertible & Volatility Arbitrage Index was up 1.7% in October 2010. The strong demand for yield has exacerbated the impact of modest issuance in the convertibles market; the result has been a noticeable tightening in convert pricing.

Directional equity managers had excellent raw material with which to work, and the L/S Equity Long Bias Index gained 1.7% on the month. The L/S Equity Variable Bias gained 1%.

Less directional equity managers continue to wallow in their struggles. The L/S Equity Market Neutral Index posted a -0.5% decline. The L/S Equity Statistical Arbitrage Index gained 0.6% but is still down -1.4% on the year as managers continue to struggle with the “risk on/risk off” environment.

(press release)

Download full press release and performance table here: www.lyxor.com/news-press.php


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. How Einhorn survived a nightmare year[more]

    From Bloomberg.com: Even when a hedge fund has an awful year, which was the case for David Einhorn's Greenlight Capital, there are lessons to be learned. Many funds would have had a tough time surviving a year like Einhorn experienced in 2015, when all the stars seemed to align against him and Green

  2. Legal - Hedge fund founder wins early release in U.S. insider trading case, Gramercy seeking $1.3 billion from Peru over land-bond dispute[more]

    Hedge fund founder wins early release in U.S. insider trading case From Reuters/Streetinsider.com: Former hedge fund manager Doug Whitman on Tuesday won a reprieve from serving the remainder of his two-year sentence for insider trading after several judges expressed skepticism that his 2

  3. Investing - David Einhorn finds a winner in Michael Kors[more]

    From Thestreetinsider.com: Greenlight Capital hedge fund manger David Einhorn took his lumps in 2015. The fund lost over 20 percent on the year amid bets gone bad being long a plunging SunEdison and short a couple high-flying FANG stocks. However, today Einhorn is again showing his stock picking pro

  4. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  5. Computer-driven hedge funds make money during January’s selloff[more]

    Komfie Manalo, Opalesque Asia: Commodity trading advisers (CTAs) that use computer programs to guide how they trade, made millions of dollars during last month’s market selloff on the back of declining oil prices and global equities and big moves in currencies. Data provider