Sat, Apr 30, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund index lost 1.8% in May (+0.3% YTD): commentary

Wednesday, June 15, 2011
Opalesque Industry Update – Following last week’s initial results announcement, the Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, is confirmed to have lost 1.8% in May, with year to date gains of +0.3%.

The first week of May 2011 was dominated by the commodity stories. Silver plummeted by nearly a third as margins rose by 84% in less than two weeks.* Crude oil fell nearly 15%* as the death of Osama Bin Laden and persistently positive oil inventory surprises preceded a reversal of the first quarter’s price run-up. Poor macro data reinforced the trend, but the sharp decline in net long futures positioning suggests that significant deleveraging played a part.

Global Macro and CTA managers bore the brunt of the sell-off, with the Lyxor Long-Term CTA Index declining 4.1% on the month. The Short-Term CTA Index declined 3.4%, as many of those managers suffered from losses in equities but were less exposed to commodities. The more bullish Global Macro managers with higher equity and commodity positions suffered predictably, dragging down the index 2.5% on the month.

Broad equity markets declined sharply before regaining a majority of the losses at the end of the month. Long/Short Equity managers generally declined less than the broad markets, with the Lyxor Market Neutral Index gaining 0.6%. The Long Bias Index declined 0.7% and the Variable Bias Index declined 0.6%. Increased correlations across stocks and generally low volatility worked against statistical arbitrage managers, with the index declining 0.6%.

Within the Event Driven segment, the Lyxor Special Situations Index declined 1.8% despite a rebound at month-end. Managers suffered as financial and materials stocks, heavy in special situations portfolios, declined more than the broad averages. The Lyxor Merger Arbitrage Index displayed its typical low volatility, declining 0.4%. One notable drag on merger arb performance was the highly publicized withdrawal of Nasdaq’s offer to buy NYSE Euronext after regulators put the kibosh on the deal. The Lyxor Distressed Index fell 0.5% due to idiosyncratic positioning.

Managers exposed primarily to credit markets generated muted returns despite the slowdown in the economy. US investment grade spreads were relatively stable (and lower than in April) and Treasury yields continued their decline, with the net result that net long positions in investment grade credit probably gained on the month. Increases in high yield spreads basically offset the bid in Treasuries, suggesting flattish returns for net long high yield positions. The Lyxor L/S Credit Index declined 0.5%.

The Lyxor Convertible Arbitrage Index fell 0.2%. Wider spreads worked against convertible prices, but short equity positions and stable convertible valuations helped to offset this factor. The Lyxor Fixed Income Arbitrage Index declined 1.7%, with the majority of the losses occurring during the first of the month.

(press release)

www.lyxor.com


Bg

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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n