Fri, Sep 4, 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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  3. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner