Wed, Sep 17, 2014
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. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  2. Investors looking at other sources for hedge fund-like returns[more]

    Komfie Manalo, Opalesque Asia: Investors who are always on the lookout for higher gains are looking at alternative sources of income, particularly exchange-traded fund industry that generates hedge fund-like returns, according to

  3. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  4. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  5. Opalesque Exclusive: Old Hill Partners launches specialty finance fund[more]

    Bailey McCann, Opalesque New York: Asset-backed lending is starting to heat up again after a prolonged credit squeeze. The Financial Times reports that a record £18.9bn was borrowed from asset-based lenders in the three months to the end of June. Much of this lending is driven by advanc