Sat, May 30, 2015
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. Opalesque Exclusive: New TMT hedge fund adopts the long-term approach[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Adam Parker founded Center Lake Capital LLC in New York in November 2014. Before that, he was portfolio manager at Point State Capital (the successor fund to Dr

  2. Investing - Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds, Hedge funds buy Actavis, Valeant. ETFs join the party, The most loved biotechs of big hedge funds, Stocks to buy ... according to hedge funds, Atlantic City bond offering attracts hedge funds as buyers, Okumus Fund Management discloses huge new Ascent Capital Group stake[more]

    Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds From Boingboing.com: When a giant hedge fund is bidding on all the foreclosed houses in a poor neighborhood, living humans don't stand a chance -- but that's OK, because rapacious investors make great landl

  3. Institutions - Institutional investors turn to real estate, planes, Assets at Boston’s five biggest family nonprofits rise to $3.5bn[more]

    Institutional investors turn to real estate, planes From Joins.com: The National Pension Service and domestic emerging market specialists who did not know where to invest in a low interest rate environment are turning to other investments like the blue-chip real estate market abroad.

  4. Regulatory - Hedge funds face tax as Iceland poised to end capital controls, Comment: Why alternatives need more transparency, not enforcement[more]

    Hedge funds face tax as Iceland poised to end capital controls From Bloomberg.com: Hedge funds and other investors who bought claims against Iceland’s failed banks face a tax that targets the lenders’ estates as the government prepares to unveil its plan for exiting capital controls in t

  5. Investing - Nelson Peltz’s Trian Fund Management reduces position in Legg Mason, Biotech investors up big amid bubble talk, Hedge funds increase exposure in healthcare[more]

    Nelson Peltz’s Trian Fund Management reduces position in Legg Mason From Octafinance.com: Trian Fund Management has filled a SC 13D/A form regarding Legg Mason, Inc. Per Nelson Peltz’s Trian Fund Management’s filing, the filler reported decreased stake in the company by -11.05% to 11,03

 

banner