Tue, Jul 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index up 1.10% in February, +1.35% YTD

Friday, March 11, 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, was up 1.1% in February.

The first three-quarters of February was generally quiet and developed equity markets steadily gained. Agricultural commodities and industrial metals steadily rose along with them. Crude oil was abundant, according to inventory reports, and energy prices declined slightly. Investors having quickly stepped away from their previous Emerging market “overweights”, Emerging markets were flattish.

Interest rates had spiked at the beginning of the month to the highest levels since April (the US 10 yr jumped nearly 40 bps during the first week of the month), but they drifted down after that. And they took a big leg down when the Libyan situation flared up.

Futures traders focused on trends managed to finish February with a positive print (the Lyxor Long-Term CTA Index gained 0.6%). Long risk assets and short bonds, those CTAs had positive returns during the first of the month, but they were flat during the middle of the month: losses on bonds offset gains elsewhere. The slump and rebound in risk assets toward month’s end caused volatility, but the net result was a wash. The Lyxor Short-Term CTA Index fared better, gaining 1.3%.

The Lyxor Global Macro Index posted a 0.3% gain. Managers with significant Emerging Market exposure typically posted negative returns; managers with more commodity and developed equity exposure bested them.

Equity-oriented managers gave back gains when the Libyan situation first flared up, but they recovered a bit as the month came to an end. The L/S Equity Long Bias Index (+0.9%) and Variable Bias Index (+2.3%) each followed this pattern. The L/S Equity Market Neutral Index (+1.6%) followed a steadier path, even though it had given up a bit during the big decline. The Statistical Arbitrage Index gained 1.5%, with most of the gains coming during the quieter first part of the month.

Event-Driven managers navigated the month fairly well. The Special Situations Index was the best performer in the Lyxor suite, posting a 1.9% gain. Many positions taken by these managers are highly exposed to the economic recovery; these sectors made substantial gains during the first part of the month but fell hard once risk aversion spiked. Gold, a favourite among some of the managers, persistently gained over the month. The Distressed Index was up 0.7% as idiosyncratic opportunities gained in spite of geopolitically-induced volatility.

Arbitrage and relative value managers also found traction amidst the volatility. The Lyxor Merger Arbitrage Index and L/S Credit Index each gained 0.9%, and the Fixed Income Arbitrage Index posted a 0.7% gain. Convertible Arbitrage index managers gained 0.5%...Corporate website: Source

Full performance table: 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. Opalesque Exclusive: Michael E. Lewitt: Greece, Puerto Rico, China stock market problems are symptoms of global underlying disease[more]

    Benedicte Gravrand, Opalesque Geneva: Michael E. Lewitt, manager of the Third Friday Total Return Fund, L.P., author and market commentator, says in a Q2 letter

  2. Investing - Hedge funds, seeing opportunity, invest in struggling hotels in Puerto Rico[more]

    From NYTimes.com: Puerto Rico’s tourism industry has fallen victim to the island’s struggling economy, hit by one misfortune after another. In March, the San Juan Beach Hotel filed for bankruptcy. This week, the Condado Plaza Hilton was forced to close its casino. But nearly two thousand miles away,

  3. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  4. Opalesque Exclusive: London quant shop launches new improved strategy[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Simon Wajcenberg, CEO of K1T Capital Ltd, a systematic quant based hedge fund asset manager based in London

  5. 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.

 

banner