Sun, Dec 21, 2014
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. Investing - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. 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

  4. Opalesque Exclusive: U.S. legal receivables fund launched in August[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Investing in asset-backed receivables is a strategy that has been an integral part of the alternative investment space within the overall fixed income asset c

  5. Comment - High fees and low performance hit hedge funds[more]

    From FT.com: Disenchantment over high fees and lackluster performance may finally be turning the tide against hedge funds, fresh data suggest. Despite generally weak returns since the global financial crisis, hedge funds have enjoyed positive net inflows every year since 2010. This helped assets und