Wed, Dec 2, 2015
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

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. David Einhorn's hedge fund plunged 5.2% in November, set for 2015 loss[more]

    From David Einhorn’s main hedge fund at Greenlight Capital fell 5.2 percent in November and is poised for only its second losing year in almost two decades. The losses bring the fund’s yearly drop to almost 21 percent, according to an e-mail sent to clients that was obtained by Bloomb

  2. 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

  3. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  4. Commodities - Stung by oil, distressed-debt traders see worst losses since '08[more]

    From It’s mid-November, but for investors who trade in the debt of distressed companies, the year’s already done -- and they lost. Hedge funds that specialize in the debt are grappling with their worst declines in seven years. Funds managed by Knighthead Capital Management, Candlewood

  5. Regulatory - Major changes in partnership audit procedures contained in 2015 Budget Act[more]

    Contained in the Bipartisan Budget Act of 2015, signed by President Obama on November 2, is a rather complex provision that materially changes how partnerships are audited. Generally effective for tax years beginning after December 31, 2017, the so-called “TEFRA” and “Electing Large Partnership” rul