Mon, Sep 26, 2016
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 Lyxor’s 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 month’s 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. Star names struggle as smaller hedge funds make hay[more]

    From eFinancialnews.com: Many big-name funds have been hit by sharp reversals in markets, including US government bonds and UK stocks, and have struggled to extricate themselves from positions that have gone bad. According to data group eVestment, hedge funds below $250 million in size are up 4.1% t

  2. North America - Acela fight splits hedge fund Connecticut and old money enclaves[more]

    From Bloomberg.com: Connecticut’s residential coastline is two worlds, the one of newcomer millionaires and one whose wealth and New England roots span generations. Now, their differences over a rail route threaten to gum up plans for the U.S. Northeast’s fastest-ever trains. About 30 miles from Man

  3. Activist News - Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership, Activist investors double chance of CEO exits[more]

    Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership From Calvinayre.com: Casino operator Caesars Entertainment has improved its offer to junior creditors to over $5b, but the offer is only good until Friday. On Wednesday, Caesars added an extra $1.6b to the $

  4. Nobel Sustainability Trust, Prince Albert II of Monaco help launch major new initiative to drive sustainable technologies[more]

    Matthias Knab, Opalesque: The Nobel Sustainability® Trust ("NST") is leading a major new initiative to finance, incubate and accelerate the development of clean technologies. The initiative will start with the formation of the Nobel Sustainability Fund® ("NSF"). NSF will drive faster access t

  5. Comment - ‘Gut feeling’ measurable in hedge fund traders, How hedge fund managers can use blockchain to maximize benefits[more]

    ‘Gut feeling’ measurable in hedge fund traders From Laboratoryequipment.com: “Gut feeling” is an intangible – an automatic hunch – based on prior experience for some people. But the “gut feeling” is actually a measurable response developed in professionals doing some high-risk work, acco