Thu, Oct 27, 2016
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)



Lyxor Hedge Fund Index



Lyxor L/S Equity Long Bias Index



Lyxor L/S Equity Market Neutral Index



Lyxor L/S Equity Short Bias Index



Lyxor L/S Equity Statistical Arbitrage Index



Lyxor L/S Equity Variable Bias Index



Lyxor Convertible Bonds & Volatility Arbitrage Index



Lyxor Distressed Securities Index



Lyxor Merger Arbitrage Index



Lyxor Special Situations Index



Lyxor L/S Credit Arbitrage Index



Lyxor Fixed Income Arbitrage Index



Lyxor CTAs Long Term Index



Lyxor CTAs Short Term Index



Lyxor Global Macro Index



Lyxor Top 10 Index



Lyxor Credit Strategies Index



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 speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa

  2. Investing - Fund set up to buy illiquid hedge fund stakes finds plenty of opportunities, Lansdowne's Roden says likes animal genetics company Genus[more]

    Fund set up to buy illiquid hedge fund stakes finds plenty of opportunities From As ValueWalk reported back in February, earlier this year Andrew Lawrence set out to raise $250 million to $500 million for a fund that will buy stakes in hedge funds that have suspended redem

  3. Opalesque Roundtable: Style drift, poor communications and credibility fatigue are biggest red flags for hedge funds investors[more]

    Komfie Manalo, Opalesque Asia: Style drift, poor communications and credibility fatigue are the biggest red flags for hedge funds investors, said participants of the latest 2016 Opalesque Investor Roundtable, sponso

  4. Barclay CTA Index down 0.40% in September (+0.10% YTD)[more]

    Managed futures traders lost 0.40% in September according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 0.10% year to date. “The US Fed, in spite of its hawkish tone, opted to hold rates steady which roiled financial markets,” says Sol Waksman, founder and president of BarclayHe

  5. Opalesque Exclusive: Meet Emma, your friendly A.I. helper[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Shaunka Khire, who co-designed an artificial intelligence (AI) robot called EMMA/MANSI, talks to Opalesque