Sun, Dec 11, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index gains 0.2% in September (+2.2% YTD) as momentum continues for alternative strategies

Monday, October 08, 2012
Opalesque Industry Update - The Lyxor Hedge Fund Index gained 0.2% in September 2012 (+2.2% in 2012). 11 Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Lyxor Event Driven - Special Situations Index (+2.2%) and the Lyxor L/S Equity – Long Bias Index (+1.5%).

Hedge fund momentum continued in September. The sharp move in the markets occurred early in the month as the ECB’s plan for unlimited bond purchases came into focus. For the remainder of the month, markets were relatively calm and exhibited low correlations among individual securities. Volatility was low, as markets did not lurch erratically from euphoria to fear. Fundamentals generally overrode emotions, meaning that some risk assets rose in value (e.g., equities and corporate bonds) and some fell (e.g., agricultural commodities and crude oil). This environment benefited nearly all hedge funds strategies, with the exception of CTAs, which often act as the de-correlated portfolio diversifier.

Credit-oriented funds chalked up another positive month to make it four in a row. The Lyxor L/S Credit Index gained 1.2% in September, yielding a 6.4% gain for 2012 so far. The index has gone up in eight of the past nine months. The choice of “shorts” in Long/Short is becoming more crucial as spreads are generally tighter than they have been in over a year. Even though credit spreads have not moved in a straight line this year, L/S Credit funds have exhibited remarkable persistence in navigating the environment and managing exposures.

Equity-oriented hedge fund managers also found continued traction. The Lyxor L/S Equity – Long Bias Index gained 1.5% for a year-to-date performance of 8.7% (the best performance of any of the strategy indices). The index has now gained for four consecutive months. The L/S Equity Variable Bias managers displayed more mixed performance, with the Index gaining a more modest 0.4%. Managers had increased exposures as the summer equity rally gained steam but have taken them down a bit as the rally has faded. The Market Neutral Index declined 1.4% and the Statistical Arbitrage Index gained a solid 0.6% (+4.2% on the year).

Event Driven managers performed solidly as both equity and credit markets provided opportunities. The Special Situations Index gained 2.2% with good performance by most managers in that space. Outperformers often exhibited heavy exposure to gold or gold miners. The Merger Arbitrage Index continued its positive trajectory with a 0.1% gain. The Distressed Index posted 0.4% gains (up 5.7% year-to-date); the Index has gained every month this year but one.

Global Macro funds extended their summer rebound, with commodity and foreign exchange market moves providing the differentiation among funds. The few managers who were long euro or short agricultural commodities easily bested their peers. The Index gained 0.3%. Fixed Income Arbitrage and Convertible Arbitrage gained 0.9% and 0.5%, respectively. The Fixed Income Arbitrage Index now stands at +8.2% on the year, the second highest return for a Lyxor Strategy Index.

CTAs, both short term and trend followers, posted negative returns this month, respectively -2.3% for the Long Term CTA Index and -1.0% for the Short Term CTA Index. While trendfollowing CTAs gained on generally rising equity markets (which they were long), they also suffered losses on long positions in agricultural commodities, energy, and the US dollar. The rise and subsequent decline of U.S. Treasury yields meant that the persistent long bond positioning of CTAs did not particularly benefit or detract from performance.

>> “Hedge fund managers had a hesitant if not cautious view on Europe which led to low directionality and leverage in portfolios. That has started to be adjusted upwards during September” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM.

Lyxor Flash - the alternative investment industry barometer.

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. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea’s National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: …Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets’[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest