Wed, Oct 18, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index is almost flat in April with a performance of -0.02% (+1.52% YTD)

Friday, May 11, 2012
Opalesque Industry Update - The Lyxor Hedge Fund Index is almost flat in April 2012 with a performance of -0.02% (+1.52% in 2012), showing resilience despite disappointing economic news flow. Eight Lyxor Strategic Indices out of 14 ended the month in positive territory, led by Lyxor CTA Long Term (+1.04%), Lyxor L/S Equity Market Neutral (+0.7%) and Lyxor L/S Credit Arbitrage (+0.4%).

>> April did not bring much good news to feed upon. The sentiment boost brought by the ECB’s LTRO fizzled, and Euro related fears resurfaced during the month. Mixed Italian and Spanish auctions at the start of the month and political uncertainty around elections in France, reignited sovereign risks. Macro data was also disappointing across the Atlantic. A few days after Fed Chairman Ben Bernanke underscored that the US labour market was still “far from normal”, the nonfarm payrolls report showed a far below expectations 120K number (205K expected). The economic surprise index, which had been trending down since the start of the year entered negative territory at the end of the month.

Hedge funds, especially credit-oriented ones, proved to be resilient to the equity sell-off in April. The Lyxor L/S Credit Index continued its string of gains by posting a +0.4% performance; the Index has gained each month since December 2011 and is up 4.4% on the year. Managers have, in a number of cases, let positions roll off as target prices were hit or special situations (e.g., tender offers) paid off; risks were therefore reduced as spreads tightened during the first quarter. Some of the bestperforming managers were short European positions before the recent troubles.

Strong dispersion among hedge fund returns continues. CTA managers, whether those focused on medium- and long-term trends, or those focused on shorter-term trends, displayed considerable dispersion within peer groups. The Lyxor Long- Term CTA Index gained 1.0%, with approximately a 10 percentage point difference between the top and bottom performers. One significant tailwind for outperforming managers was the long position in US Treasuries, which rallied as the yield declined roughly 20 basis points. The Short-Term CTA Index declined 0.5%.

Event Driven strategies also exhibited substantial dispersion among managers. The Merger Arbitrage Index declined 0.4%. US-oriented managers were conservatively positioned and treaded water; European-oriented managers suffered as spreads in that region widened disproportionately. The Special Situations Index declined 1%, with some of the credit-oriented managers holding their own, some European managers declining somewhat, and managers with significant precious metals exposures declining far more sharply.

>> With concerns over the Eurozone still high, managers generally adopted a more cautious stance: trading solely on fundamentals is not back yet. “Investors too are seeking greater stability in their allocations without giving up too much return”, says Florence Barjou, Senior Portfolio Manager and Strategist at Lyxor AM.

From: Lyxor's FLASH - AII Barometer, May 2012.


Performance table: www.lyxorhedgeindices.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. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad