Sun, Feb 1, 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, 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. Opalesque Exclusive: Ex-Citi trader launches 'sleep-at-night’ long/short equity fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: After working at Citi's proprietary trading desk, managing a large portfolio between 2008 and 2011, Joel S. Salomon founded SalaurMor Management in New Yor

  2. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  3. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  4. Update: Prosecutors seek 12 years for hedge fund manager Francisco Illarramendi[more]

    Komfie Manalo, Opalesque Asia: Federal prosecutors have asked the court to sentence convicted hedge fund manager Francisco Illarramendi to 12 years imprisonment for running an elaborate Ponzi scheme that bilked investors hundreds of millions in dollars, including a Venezuelan pension fund, report

  5. Institutions - Ontario pension fund leader calls all asset classes ‘expensive’, Taiwan's BLF plans $2bn in alternative mandates[more]

    Ontario pension fund leader calls all asset classes ‘expensive’ From WSJ.com: The head of one of the world’s largest pension funds said that across asset classes, “everything is expensive.” Ron Mock, who leads Canada’s $141 billion Ontario Teachers’ Pension Plan, said that the plan would