Mon, Aug 3, 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 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. Opalesque Exclusive: Despite bumpy June/July, CTAs hold on[more]

    Bailey McCann, Opalesque New York: To say that things have been rocky in managed futures recently is putting it mildly. In June, the industry saw its worst month on a performance basis in the past four years. Then yesterday,

  2. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  3. Other Voices: Same day reporting and the evolving role of fund administrators[more]

    By: Scott Price, Head of Business Development and Client Management for North America, Maitland Ernst & Young’s latest glob

  4. Opalesque Roundup: Hedge fund assets rose to 11th consecutive quarterly record level: hedge fund news, week 31[more]

    In the week ending 24 July, 2015, the total global hedge fund industry assets rose to the 11th consecutive quarterly record level in 2Q15 to $2.97tln; Eurekahedge reported that hedge funds raised $93bn in the first six months of 2015; The SS&C GlobeOp Forward Redemption Indicator for July 201

  5. Cowen Group, Inc. to acquire Conifer Securities[more]

    Cowen Group, Inc. and Conifer Securities, LLC had announced the signing of a definitive agreement under which Cowen will acquire Conifer Securities, the prime services division of Conifer Financial Services LLC. The transaction, the terms of which have not yet been disclosed, was approved by the boa

 

banner