Tue, Mar 28, 2017
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. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He