Sat, Sep 20, 2014
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. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. Institutions - North Carolina workers call on state pension to dump up to $6bn in hedge funds, UK pension fund criticizes hedge fund fees[more]

    North Carolina workers call on state pension to dump up to $6bn in hedge funds From Forbes.com: The State Employees Association of North Carolina this afternoon called on state Treasurer Janet Cowell to withdraw all investments in hedge funds, which appear to amount to approximately $6 b

  4. Investors looking at other sources for hedge fund-like returns[more]

    Komfie Manalo, Opalesque Asia: Investors who are always on the lookout for higher gains are looking at alternative sources of income, particularly exchange-traded fund industry that generates hedge fund-like returns, according to

  5. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e