Thu, Sep 18, 2014
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. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. Investors looking at other sources for hedge fund-like returns[more]

    Komfie Manalo, Opalesque Asia: Investors who are always on the lookout for higher gains are looking at alternative sources of income, particularly exchange-traded fund industry that generates hedge fund-like returns, according to

  4. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  5. Opalesque Exclusive: Old Hill Partners launches specialty finance fund[more]

    Bailey McCann, Opalesque New York: Asset-backed lending is starting to heat up again after a prolonged credit squeeze. The Financial Times reports that a record £18.9bn was borrowed from asset-based lenders in the three months to the end of June. Much of this lending is driven by advanc