Sat, Dec 27, 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 flat in January

Wednesday, February 09, 2011
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, is flat in January.

The general trend in risk assets was arguably “up” in January 2011, but the movement was punctuated by several sharp downticks that threw off some hedge fund managers. The first downtick was a mild movement attributed to poor jobless data in the US and a flare-up in European sovereign debt concerns. The second one came early in the U.S. earnings season, and it was triggered when a prominent global bank surprised to the downside due to sharply lower revenue from trading. The final downtick came toward the end of the month on civil unrest in Egypt.

Broad equity indexes weathered these shocks and showed a positive return at the of the month (e.g., the S&P 500 was up 2.4%), but some exposures suffered so much during the downturns that they were little changed on the month (e.g., the S&P 600 small cap index was up 0.2%).

Gains in large cap equities helped power the Lyxor L/S Equity Long-Bias Index to a 1.1% gain; managers have maintained very high net and gross exposures throughout the past several months. The Lyxor L/S Equity Variable Bias Index fell 0.4% and the Statistical Arbitrage Index fell 1.1%; the quick downturns in the market and the return differential among various styles help explain the poor performances. The Market Neutral Index, not exposed to some of the most detrimental factors, gained 0.9%.

Convertible Arbitrage managers gained 1.0% according to the Lyxor index. Seasoned convertibles continue to richen due to simple supply/demand dynamics for equity-linked assets and the seemingly relentless rise in underlying stocks. The Lyxor L/S Credit Index rose 0.6%; credit spreads continued tightening.

Short euro positions and long energy positions proved painful for many futures traders during the month, and the Lyxor Long-Term CTA Index declined 2.0%. Many managers put on more risk at the turn of the year, but it did not turn out as planned. The Lyxor Short-Term CTA Index was flat.

The Lyxor Merger Arbitrage Index gained 1.4% in January 2011, making it the best performing strategy index in the Lyxor suite. The Distressed Index was up 1.0% as post-reorg equities gained.

The Lyxor Special Situations Index edged up 0.5% after peaking mid-month. Long gold positions were a persistent drag on returns, and protective positions on European sovereign debt generally lost as spreads narrowed for the majority of the month. Long financial positions proved painful during earnings season.

The Lyxor Global Macro Index declined 0.6% on the month, with equity- and commodity-oriented managers generally performing worse than that and diversified managers performing better. The index peaked mid-month (reaching positive territory) but slipped as some risk assets lost steam. Some FX-oriented managers suffered from the double whammy of weakening emerging currencies and a simultaneously strengthening euro. The Lyxor Fixed Income Arbitrage Index gained 0.7%...Corporate website: Source
KM

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. Hong Kong-Shanghai stock link fails to live up to expectation so far[more]

    Komfie Manalo, Opalesque Asia: In a report, Reuters said that demand has been subdued with the bulk of activities coming from short-term speculative investors. Las

  2. Investing - Hedge funds get boost from healthcare in 2014, Paulson & Co takes stake in Salix on heels of inventory issues[more]

    Hedge funds get boost from healthcare in 2014 From Valuewalk.com: The healthcare sector started the year on a turbulent note, as stocks of many major biotechnology companies were battered. However, most of the players in this sector have bounced back. The BarclayHedge Healthcare & Biotec

  3. North America - Why Steve Cohen, Connecticut hedge fund billionaire, gives so much in New York[more]

    From Insidephilantrophy.com: Billionaire Steve Cohen was born in Great Neck, New York before attending Wharton, working on Wall Street and then founding SAC Capital Advisors in Connecticut. Though his company (Point72) and foundation are based in Connecticut, Cohen and Alexandra are deeply connected

  4. Investing - Soros buys a highly speculative biotech in the third quarter[more]

    From Fool.com: …The Soros Fund bought 25,000 shares of the struggling small-cap biopharma Aegerion Pharmaceuticals in the third quarter. For those of you who haven't heard of this name, suffice to say that this was a surprising buy in light of the company's recent problems and poor outlook going for

  5. CFTC Revokes Registrations of Illinois Resident Aleks A. Kins and Chicago-based AlphaMetrix, LLC[more]

    Matthias Knab, Opalesque: The U.S. Commodity Futures Trading Commission (CFTC) today announced that it has revoked the registration of Aleks A. Kins of Chicago, Illinois, as an Associated Person and the registrations of AlphaMetrix, LLC (AlphaMetrix), a Delaware limited liability company with its