Fri, May 29, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund Index down -0.34% in March (+1.21% YTD)

Monday, April 11, 2011
Opalesque Industry Update - The Lyxor Global Hedge Fund Index, an investable index based on Lyxorís hedge funds platform which tracks the overall hedge fund universe, lost 0.3% in March.

The Middle East/North Africa turmoil captured the attention of most market participants during the early part of March 2010, but the impact on asset prices was concentrated on commodities. U.S equities rallied modestly, European equities fell slightly, and credit markets were somewhat range-bound. Crude oil spiked sharply on supply disruption concerns, and some metals fell sharply due to prospective knock-on effects of high oil slowing the recovery. Alternative strategies posted generally modest gains or losses, with CTAs predictably showing noticeable variation across managers due to the dispersion of asset returns.

Markets moved sharply and in lockstep once the tragedy of the Japanese earthquake and tsunami became clear. Equities, energy, metals, commodities, and credit sold off sharply. This sharp reversal in prices generated losses for managers who had consistently made money on those trends in previous weeks. Risk assets bounced back after it became more likely that the Japanese situation was not rapidly deteriorating. Many hedge fund managers had held onto their positions during the downturn and were positioned to make up a substantial portion of their mid-month losses.

Futures traders focused on trends ended the month down 1.2%, according to the Lyxor Long-Term CTA Index. Long energy positions worked out extremely well when crude oil moved over $100 per barrel, and managers generally posted positive returns. Managers were caught out when risk assets declined so sharply mid-month, but most maintained their risk levels and rebounded as the month progressed. The Lyxor Short-Term CTA Index gained 0.1%. The Lyxor Global Macro Index posted a 0.5% decline, with the usual substantial dispersion among managers. Managers with significant bullish trades were still underwater at monthís end, but a number of managers posted positive results despite it all.

Equity-oriented managers with the least directionality in their portfolios fared best among the Lyxor L/S Equity Indexes, e.g., the Market Neutral Index (0.6%) and the Statistical Arbitrage Index (1.3%). The L/S Equity Long Bias Index declined 0.1%, and the L/S Equity Variable Bias Index gained 0.3%.

Event-Driven managers focused on merger arbitrage gained a modest 0.1%, according to the Lyxor Index. Spreads widened modestly during the downturn, allowing some managers to add to those positions selectively, but idiosyncratic deal news separated higher-performing managers from their peers. Many Special Situations managers have significant financial, energy, or basic materials sector exposure, and the difficult market for these cyclical exposures dragged down the strategy. The Lyxor Special Situations Index declined 1.5% on the month. The Lyxor Distressed Index gained 0.3%.

Arbitrage and relative value managers fared well. The Lyxor Convertible Arbitrage Index gained 0.8%. Demand for convertibles continues to improve valuations, and many managers have significant hedges in place against equity declines. The Lyxor Fixed Income Arbitrage Index gained 0.3%. The L/S Credit Index posted a gain of 0.2% over the calendar month...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 - Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds, Hedge funds buy Actavis, Valeant. ETFs join the party, The most loved biotechs of big hedge funds, Stocks to buy ... according to hedge funds, Atlantic City bond offering attracts hedge funds as buyers, Okumus Fund Management discloses huge new Ascent Capital Group stake[more]

    Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds From Boingboing.com: When a giant hedge fund is bidding on all the foreclosed houses in a poor neighborhood, living humans don't stand a chance -- but that's OK, because rapacious investors make great landl

  2. Institutions - Institutional investors turn to real estate, planes, Assets at Bostonís five biggest family nonprofits rise to $3.5bn[more]

    Institutional investors turn to real estate, planes From Joins.com: The National Pension Service and domestic emerging market specialists who did not know where to invest in a low interest rate environment are turning to other investments like the blue-chip real estate market abroad.

  3. Regulatory - Hedge funds face tax as Iceland poised to end capital controls, Comment: Why alternatives need more transparency, not enforcement[more]

    Hedge funds face tax as Iceland poised to end capital controls From Bloomberg.com: Hedge funds and other investors who bought claims against Icelandís failed banks face a tax that targets the lendersí estates as the government prepares to unveil its plan for exiting capital controls in t

  4. Opalesque Exclusive: BMO launches multi-strat '40 act fund[more]

    Bailey McCann, Opalesque New York: As we reach new market highs, investors are looking for a way to diversify and protect their portfolios from a potential market correction. Liquid alternatives are rapidly gaining ground as a critical tool for investors to use to mitigate downside risk. The BMO

  5. All hedge fund strategies rebounded last week as market conditions normalize[more]

    Komfie Manalo, Opalesque Asia: After a difficult start this month, all hedge fund strategies ended last week in positive territory, as the Lyxor Hedge Fund Index gained 0.9% (-0.2% MTD, 3.3% YTD). According to Lyxor AMís latest Weekly Briefing, in t

 

banner