Sat, Apr 25, 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 was up +1.4% in April 2011, lifting year to date gains to 2.1%

Wednesday, May 11, 2011
Opalesque Industry Update - The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up +1.4% in April, lifting year to date gains to 2.1%.

Macroeconomic data were reasonably supportive in April, but the key positive driver for stock prices was probably earnings season. Markets were relatively quiet during the first part of the month, with prices fairly stable. There was a slight hiccup mid-month, as the US’s credit outlook was revised to negative and investors once again worried about European sovereign debt issues. Solid trends asserted themselves, however, when investors focused on earnings for the last two weeks of the month.

Trend following CTAs, as represented by the Lyxor Long-Term CTA Index, posted the highest strategy return in April 2011 and the index’s highest return since August of last year. CTAs had generally been long risky assets and short bonds in March, and they suffered for that when investors fled to quality mid-month. Managers subsequently trimmed positions, with the result that the April rally in bonds did not hurt that much, yet the gains in equities, precious metals, FX, and some commodities all contributed positively to the bottom line. Short-Term CTAs also fared well, with the Lyxor index gaining 1.9% on the month.

The Lyxor Global Macro Index gained 1.8%. Managers with tilts toward long bonds and short US dollar had significant tailwinds.

Equity managers had good raw materials this month. The L/S Equity Long Bias Index gained 1.4% and the Variable Bias Index gained 1.5%. Managers with a commodity stock bias and/or emerging market bias were able to post higher numbers. The Market Neutral Index (-0.2%) and Statistical Arbitrage Index (+0.6%) each exhibited dispersion among the returns of constituent managers. The more fundamentally-oriented market neutral managers generally did a bit worse than some of the more quantitatively oriented managers, but there were exceptions as always.

The Lyxor L/S Credit Index gained 1.0%. Credit spreads fell sharply during the last week of the month, with Investment Grade and High Yield spreads reversing about half of the increases that began in late February. The Lyxor Convertible and Volatility Arbitrage Index declined 0.5%, partially due to a cheapening of bonds relative to theoretical values.

The Fixed Income Arbitrage Index gained 0.6%, with managers in the mortgage-backed space performing significantly better than average.

Event-Driven managers had a decent month, with the Special Situations Index gaining 0.6% and the Merger Arbitrage Index gaining 1.1% on a very favorable environment for M&A transactions. The Distressed Index posted an increase of 0.7% due to idiosyncratic events in the post-reorganization equity space.

(press release)


Apr-11

YTD

Lyxor Hedge Fund Index

1.37%

2.14%

Lyxor L/S Equity Long Bias Index

1.44%

3.39%

Lyxor L/S Equity Market Neutral Index

-0.19%

2.94%

Lyxor L/S Equity Short Bias Index

-4.23%

-15.84%

Lyxor L/S Equity Statistical Arbitrage Index

0.56%

2.14%

Lyxor L/S Equity Variable Bias Index

1.46%

3.65%

Lyxor Convertible Bonds & Volatility Arbitrage Index

-0.52%

1.85%

Lyxor Distressed Securities Index

0.67%

2.71%

Lyxor Merger Arbitrage Index

1.07%

3.46%

Lyxor Special Situations Index

0.57%

1.43%

Lyxor L/S Credit Arbitrage Index

0.95%

2.70%

Lyxor Fixed Income Arbitrage Index

0.64%

2.34%

Lyxor CTAs Long Term Index

3.61%

0.93%

Lyxor CTAs Short Term Index

1.87%

3.31%

Lyxor Global Macro Index

1.81%

0.98%

Lyxor Top 10 Index

1.23%

2.36%

Lyxor Credit Strategies Index

0.64%

2.26%

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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

  4. Update: Wall Street has strong feelings about Jon Corzine trying to make a comeback[more]

    From Businessinsider.com.au: Former New Jersey Governor Jon Corzine is thinking about starting his own hedge fund, according to the Wall Street Journal, and because of the way his last firm imploded, Wall Street has strong feelings about that. “Truth is the larger seeders would never give him money

  5. Opalesque Exclusive: Cybersecurity and hedge funds - A manager’s experience, Part Four[more]

    Benedicte Gravrand, Opalesque Geneva: Ruane, Cunniff and Goldfarb, Inc. used to have their own IT infrastructure. Todd Ruoff, Executive Vice President in charge of trading, operations and technology, was responsible for its maintenance. Then he started looking at outsourced providers a couple of

 

banner