Mon, Mar 2, 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 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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Investing - As rig count falls, hedge funds pile into long crude futures, Parus tactically shifts long/short exposure ratios, Mario Draghi outflanking Kuroda as bearish euro bets surge, Prime Capital’s 500.com bet derailed after 41% drop[more]

    As rig count falls, hedge funds pile into long crude futures From 247wallst.com: In the week ended February 27, the total number of rigs drilling for oil in the United States came in at 986, compared with 1,019 in the prior week and 1,430 a year ago. Including 281 other rigs mostly drill

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie