Sat, Nov 22, 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 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. Greenlight Re CEO says hedge fund reinsurance strategy buzz is validating[more]

    From Artemis.bm: The attention being paid to the hedge fund reinsurance business model and the fact that others are now looking to leverage bits of it within their own strategies, is validating for reinsurer Greenlight Capital Re, according to CEO Bart Hedges. There has been an increasing buzz

  2. Legal - Hedge fund manager fights £8m tax tribunal ruling[more]

    From FT.com: A hedge fund manager who may have to repay £8m in tax is trying to overturn a tribunal ruling that found he had attempted to shelter millions in an avoidance scheme. Patrick Degorce, chief investment officer at Theleme Partners, lost a tax tribunal case last year. HM Revenue & Customs c

  3. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca

  4. Investing - George Soros puts $500m of his money on Bill Gross, Soros, Paulson backed Hispania Activos mulls Realia takeover, Ex-Credit Suisse trader’s hedge fund sees yen shorts as crowded, Hedge hunters double default-swaps as views split, Large hedge fund positions come under pressure, Vikram Pandit's fund picks 50% stake in JM Financial's realty lending arm for $87m[more]

    George Soros puts $500m of his money on Bill Gross From WSJ.com: Before Bill Gross was fully settled in at his new firm, Janus Capital Group Inc., he received an unlikely visit from the chief investment officer of famed investor George Soros ’s firm, according to a person familiar with t

  5. Hedge fund Oceanwood raises $2bn, to close to new investors[more]

    From Reuters.com: Europe-focused hedge fund Oceanwood Capital Management is closing its fund to new investors after its assets under management hit $2 billion (1 billion pounds) recently, a source with direct knowledge of the matter said. Oceanwood, a multi-strategy hedge fund spinout from Tudor Gro