Thu, Nov 26, 2015
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


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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. Investing - BlackRock targets ETF investors with flexible currency hedging, Nelson Peltz bets on General Electric Company and Mondelez International, Apple plummets to 4th place among hedge holdings, from No. 1, Top Q3 equity purchases and sales of top 50 hedge funds[more]

    BlackRock targets ETF investors with flexible currency hedging From BlackRock Inc., the world’s largest asset manager, is changing course on exchange-traded funds that protect against currency volatility. After stressing the easy switch between hedged and unhedged ET

  3. BlackRock is shutting down its Global Ascent macro fund[more]

    Komfie Manalo, Opalesque Asia: BlackRock, the world’s largest asset manager, has announced plans to shut down a macro fund, Global Ascent Fund, because of "headwinds facing the industry". The hedge fund, which makes bets on stock, bond and currency markets, will return money to investors. Ac

  4. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  5. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega