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

Lyxor Hedge Fund Index loses 2.19% in August (-3.80% YTD) in a globally challenged environment

Wednesday, September 14, 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 down 2.19% in August. Year to date performance is down 3.8%.

Recession fears, whether driven by downbeat macroeconomic data or by concerns over contagion related to sovereign debt in Europe, dominated markets in August. Equity markets trended sharply downward during the first part of the month, fluctuated up and down for a week or so, and then partially recovered during the last week of the month. Other risky assets, such as industrial commodities, followed a similar path. Safe haven assets, e.g., gold, the Swiss franc, and U.S. Treasury bonds, gained decisively. Volatility remained predictably high.

Trend-following CTAs, on average, exhibited muted returns in this back-and-forth environment with the Lyxor Long-Term CTA Index down just 0.4% on the month. Recent trends have led many to be long bonds and short equities, which was attractive positioning for much of the month. However, the volatility in the markets led to substantial dispersion of returns across managers. The Lyxor Short-Term CTA Index gained a solid 2.2% over the month, with managers in the space able to take advantage of the sharp market declines at the beginning of the month.

Equity-oriented managers persistently reduced net exposures in recent weeks, and this pro-activity led them to outperform the equity indices by a wide margin. While the S&P 500 declined 5.7% and the EuroStoxx 50 declined nearly 14%, the Lyxor L/S Equity Variable Bias Index declined 2.9% and the L/S Equity Long Bias Index fell 4.2%. Managers who are structurally more immunized to market moves declined less, with the L/S Equity Market Neutral Index down 1.1% and the Statistical Arbitrage Index down 1.6%.

Many Special Situations managers had taken risk off their books in recent weeks, but remaining exposures in basic materials, energy, and financials proved painful during the sell-off. The more defensively positioned managers declined a couple of percentage points, but managers with less liquid or more bullish positioning declined much more sharply. The Lyxor Special Situations Index fell 6.5%. The Lyxor Distressed Index declined 0.9% (up 1.6% on the year).

The Lyxor Merger Arbitrage Index declined 2.1% as spreads widened dramatically during the market sell-off. The stormy market environment has led to some deals being called off, but a number of managers view the widening as an attractive opportunity.

Hedge fund managers plying their trade in the credit space experienced a challenging month, as diminished trading liquidity remained a concern. The Lyxor Convertible Arbitrage Index declined 1.7%, as the bonds moved from slightly rich (versus theoretical pricing) to slightly cheap amidst the “risk-off” trading. Leverage utilization remains very low in the strategy. The Lyxor L/S Credit Index declined 3.0%.

Global Macro managers leaning toward long positions in Treasuries and gold distinguished themselves from their more bullish peers in August. The Lyxor Global Macro Index declined 1.2%. Rates-oriented managers were punished if they were short duration, but some of the managers were able to monetize the volatility. The Lyxor Fixed Income Arbitrage Index gained 0.3% on the month.

(press release)


 

Aug-11

YTD

Lyxor Hedge Fund Index

-2.19%

-3.80%

Lyxor L/S Equity Long Bias Index

-4.22%

-5.32%

Lyxor L/S Equity Market Neutral Index

-1.10%

0.34%

Lyxor L/S Equity Short Bias Index

5.55%

-10.41%

Lyxor L/S Equity Statistical Arbitrage Index

-1.63%

-2.67%

Lyxor Convertible Bonds & Volatility Arbitrage Index

-1.71%

-0.20%

Lyxor L/S Equity Variable Bias Index

-2.92%

-0.58%

Lyxor Distressed Securities Index

-0.94%

1.64%

Lyxor Merger Arbitrage Index

-2.06%

-1.94%

Lyxor Special Situations Index

-6.51%

-11.18%

Lyxor L/S Credit Arbitrage Index

-3.02%

-2.82%

Lyxor Fixed Income Arbitrage Index

0.26%

-1.23%

Lyxor CTAs Long Term Index

-0.39%

-2.87%

Lyxor CTAs Short Term Index

2.21%

2.70%

Lyxor Global Macro Index

-1.21%

-4.64%

Lyxor Top 10 Index

-0.95%

-3.15%

Lyxor Credit Strategies Index

-2.63%

-3.39%


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. Studies - Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements, Cambridge: Look to private investments for best access to LatAm growth[more]

    Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements A new study of the hedge fund space by industry law firm Seward & Kissel LLP reveals a wealth of information regarding established hedge fund managers’ use of side letters—special agreements

  2. Activist News - Caesars 'optimistic' on deal with hedge fund creditors[more]

    From Reuters.com: Caesars Entertainment Corp said on Monday it remains "optimistic" of reaching a $5 billion deal with the bulk of its creditors to push its main operating unit out of bankruptcy, but one hedge fund bondholder said it will pursue litigation. Caesars offered a sweetened $5 billion set

  3. Hedge funds recover from losses as central banks give markets a respite[more]

    Komfie Manalo, Opalesque Asia: The Lyxor Hedge Fund index was up 0.4% from the week ending September 20 (-2.4% YTD), supported by the willingness of central banks to remain accommodative, Lyxor Asset Management said in its weekly briefing. It ad

  4. Perry Capital closing flagship fund after almost three decades[more]

    From Blooomberg.com: Richard Perry, one of the biggest names in hedge funds, is calling it quits after 28 years. Perry, 61, is winding down his New York-based flagship fund as the industry confronts one of the most tumultuous periods in its history. In a letter to investors Monday, he said his style

  5. Eden Rock buys Gottex stake in ERG Asset Management[more]

    Matthias Knab, Opalesque: Eden Rock Group announced the purchase of Gottex’s stake in ERG Asset Management and so the firm is now wholly owned by Eden Rock. The two firms established the joint venture in 2011 to focus on providing cost effective solutions to funds holding illiquid investments, as