Tue, Apr 25, 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, down -0.8% in November, YTD remains at + 3.5%

Thursday, December 16, 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 down -0.8% in November. Year to date performance remains at + 3.5%.

Equities rallied strongly during the first week of November 2010, with the S&P 500 reaching the 2010 high. And then macro fears set in and risky assets were marked down sharply. Equities gave back all of their gains, but purportedly safer assets did not prove to be a safe haven. Treasury bond yields rose sharply – whether they were issued by the U.S. or by Germany.

The one market with strong trends was foreign exchange. The U.S. dollar persistently gained against the euro as European debt concerns mounted, but the USD also trended upward against the Japanese yen. Tensions emanating from the Korean peninsula and fears of Chinese overtightening worked to drag down the yen.

The mid-month reversal of markets proved painful for trend-following CTAs, many of whom hold net long positions across a range of futures. The Lyxor CTA – Long-Term Index declined 2.4%. Gains during the early part of November were more than offset by losses during the remainder of the month. The Lyxor CTA – Short-Term Index declined 2.0%, bringing the index back into the red for the year (-0.9% year-to-date).

The Lyxor Global Macro Index declined one percent on the month, with the usual dispersion of managers across different styles. Managers with heavy equity weightings or more directional Emerging Market exposure fared worse than some of their peers.

Event-Driven managers displayed a variety of performances. The Lyxor Distressed Index gained 1.2%, reflecting idiosyncratic drivers. The Lyxor Merger Arbitrage Index declined 1.1%, with virtually all managers in that space down for the month on wider spreads. The Lyxor Special Situations Index gained 0.1%. Managers who had previously bought protection on European sovereign debt performed quite strongly, but other managers bore the brunt of the sell-off.

The Lyxor Convertible Arbitrage Index continued its recent run, gaining 0.4% on the month. The index has gained 4.2% on the year (convertibles in the secondary market have relentlessly richened in recent months due to the hunger for yield). The Lyxor Fixed Income Arbitrage Index gained 0.8% as managers in both the mortgage-backed space and the sovereign space found traction. The Lyxor L/S Credit Arbitrage Index managers struggled on the back of spread widening.

Equity-oriented managers generally had a modest month. A few specialties, such as Japanese equity markets or U.S. small caps, were in favour, but broad markets produced little in the way of returns to beta. The Lyxor L/S Equity Long Bias Index gained 0.5%, and the L/S Variable Bias Index lost 1.1%. The L/S Equity Market Neutral Index declined 0.6%, and the L/S Equity Statistical Arbitrage Index was flat...Corporate website: http://www.lyxor.com/ target=_blank>Source
PD

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. Investing - Hedge fund Ecofin says EDP bid for renewable energy unit 'egregiously low', Asia CIOs say "non" to Europe, Billionaire Mike Novogratz says he has 10% of his money in Bitcoin and Ether[more]

    Hedge fund Ecofin says EDP bid for renewable energy unit 'egregiously low' From Reuters.com: London hedge fund firm Ecofin said an offer from Portugal's largest company EDP to buy 22.47 percent of subsidiary EDP Renovaveis "significantly undervalues" the company, in a letter to EDPR's bo

  2. Alternative asset firm YieldStreet surpasses $100m of loans funded in less than 8 quarters[more]

    Komfie Manalo, Opalesque Asia: Alternative asset investment platform YieldStreet reported that it has surpassed $100m in loans funded in less than eight quarters from accredited investors and single family offices. YieldStreet was founded by Milind Mehere and Michael Weisz. In a

  3. Investing - Investor appetite for high-growth IPOs to be tested, Apollo boosts fund's stock allowance for 'diamonds in the rough', Hedge funds uncertain over outlook for Hargreaves Lansdown[more]

    Investor appetite for high-growth IPOs to be tested From FT.com: The US listings market is poised for a busy week with deals that will test investors' appetite for high-growth - but lossmaking - companies. Eight new listings are scheduled for this week, the most since October of 2016,

  4. Hedge funds holding Puerto Rico bonds are looking at a long battle[more]

    Komfie Manalo, Opalesque Asia: Hedge funds which bought Puerto Rico's distressed debt bonds are facing the prospect of a long road ahead to recover their investments as the Caribbean island is attempting to use a U.S. Congress-approved rule that allows it to exploit a bankruptcy-like proceedings

  5. Aris Wealth' quant indices fare well[more]

    Benedicte Gravrand, Opalesque Geneva: Last year, Geneva-based Aris Wealth Management launched indices sponsored by Societe Generale Corporate & Investment Banking. These indices replic