Fri, Oct 9, 2015
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:


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 - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  2. Manager Profile - Pimco alternative funds flourish as 30-year bond rally fades[more]

    From Inside Pacific Investment Management Co., the bond behemoth that lost two chief investment officers last year and saw almost $500 billion of client money leave, a hidden profit engine is easing some of the pain. For more than a decade, Newport Beach, California-based Pimco has qu

  3. Niche Investing - Art investment funds: Attracting institutional and other new investors[more]

    From The Deloitte/ArtTactic Art and Finance Report 2014 (the "Art and Finance Report") noted that the "global art investment fund market was estimated to be worth at least $1.26 billion in the first half of 2014." This seems almost inconsequential when juxtaposed with the $54 billion of

  4. Hedge fund Barnegat survives September’s market selloff[more]

    Komfie Manalo, Opalesque Asia: Bob Treue’s $679 million Barnegat Fund proved resilient after another month of market letdown as the hedge fund gained 2.2% last month, bringing its year-to-date gains to 2.8%. Treue said in his monthly report to i

  5. …And Finally - Japanese men want upgrade on their virtual girlfriends[more]

    From Five years after News of the Weird mentioned it, Japan's Love Plus virtual-girlfriend app is more popular than ever, serving a growing segment of the country's lonely males -- those beyond peak marital years and resigned to artificial "relationships." Love Plus models (Rinko