Wed, Aug 24, 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. LatAm hedge funds surge in 1H to +24.4%, emerging markets assets rise[more]

    Komfie Manalo, Opalesque Asia: Hedge funds investing in Latin America posted strong gains through mid-2016, reversing declines in four of the past five years, including the last three years, to lead all areas of hedge fund performance through the first half of 2016, according to the latest HFR Em

  2. Asia - LGT Capital Partners: Alternatives set for continued rise in Asia[more]

    From Asianinvestor.net: More flows are likely into insurance-linked strategies, private equity and trend-following strategies/CTAs, given the benefits of such investments, argues LGT Capital Partners. Despite the numerous quantitative easing programs and bailouts of recent years, the quest for

  3. Investors yank money from hedge funds after poor performance[more]

    From Marketwatch.com: A growing exodus from hedge funds extended to two of the biggest names in the industry Tuesday, Tudor Investment Corp. and Brevan Howard, as disenchanted investors increasingly shun what was once the hottest place to put money. The funds’ problem is clear: They just aren’t perf

  4. Banks look at hedge funds differently - and it should matter to allocators[more]

    From Valuewalk.com: Looking at two bank reports on the same topic can often yield interesting results. There are times when bank research is best viewed from the standpoint of how their analysis does or does not correlate with one another. Regarding hedge fund allocation decisions, one bank appears

  5. Legal - Hedge fund’s fixer kept deals flowing with bribes, U.S. says, Big four banks sued by U.S. hedge funds over BBSW, Lessons for hedge fund managers from the government's failed prosecution of alleged insider trading[more]

    Hedge fund’s fixer kept deals flowing with bribes, U.S. says From Bloomberg.com: With the Miami villa, stopovers at New York’s Plaza Hotel and millions channeled in bribes to win mining deals, Samuel Mebiame was the relationships guy in a corruption scheme that spanned continents, accord