Wed, Jul 29, 2015
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. Bridgewater turns bearish on China[more]

    Komfie Manalo, Opalesque Asia: The world’s biggest hedge fund Bridgewater Associates and one of the most vocal of China’s potential is now turning its back against the world’s second largest economy as it joins a growing list of high-profile investors who are challenging China’s potentials.

  2. Launches - Ex-Brevan Howard star Rokos builds team for new fund, Former Och-Ziff manager’s firm starts health care hedge fund, Industry veterans launch commodity investment firm Aron Capital Management, Nikko Asset Management launches two UCITS funds, Capital Group plans to debut Asian investor targeted fund[more]

    Ex-Brevan Howard star Rokos builds team for new fund From WSJ.com: Chris Rokos, a former star trader at Brevan Howard Asset Management LLP, has hired an economist from Nomura to join the team he’s assembling for his much anticipated hedge fund launch. Mr. Rokos, whose firm is due to b

  3. Institutions - Pension fund dismisses Texas consultant, Rhode Island pension fund gets 2.2% investment return, far below assumed rate of 7.5%, New Jersey pension investments see a drop-off in returns[more]

    Pension fund dismisses Texas consultant From Sandiegouniontribute.com: The county retirement board on Thursday terminated the Texas consultant who was given the reins of the $10 billion pension fund, and whose investment picks left many employees and retirees feeling taken for a ride.

  4. SWFs - Sovereign wealth funds paid around $14 billion in fees[more]

    From SWFinstitute.org: When it comes to the financial sector, asset management is one of the most profitable industries in the world. The Boston Consulting Group put out a 2014 figure saying there is US$ 74 trillion worth of professionally-managed assets. One of the fastest growing institutional inv

  5. Investing - Carlyle teams with TCW in push for ordinary investors[more]

    From Bloomberg.com: Carlyle Group LP isn’t backing down from its goal of offering alternative strategies to the masses, despite early setbacks. The Washington-based firm is teaming up with TCW Group, which is majority owned by Carlyle funds, to offer three vehicles that give ordinary investors acces

 

banner