Wed, Dec 7, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index was up +0.62% in March, bringing YTD performance to +2.36%

Friday, April 05, 2013
Opalesque Industry Update - The Lyxor Hedge Fund Index was up +0.62% in March 2013, bringing year-to-date performance to +2.36%. 10 Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Lyxor Special Situations Index (+2.09%), the Lyxor L/S Equity Long Bias (+1.41%) and the Lyxor Merger Arbitrage Index (+1.14%).

March was dominated by political turmoil in Italy and the specter of a bank run in Cyprus. The above-mentioned events are signs that the European debt crisis is far away from being solved. On the other hand, US economic momentum keeps improving and by endorsing Kuroda as the new BoJ governor, markets expect Japan’s economy to move to the tune of Abenomics.

Markets proved resilient, despite the Italian turmoil and Cyprus bailout. It seems that equities’ attractive valuations outweigh the potential risks. Since Japan joined the camp of aggressive monetary policymakers, investors are triggered to turn towards equities. Developed markets generally strengthened, led by a growth of 4.9% in Japanese equities, shrugging off concern about European developments and adopting a positive stance toward supportive US data. The fear of financial stress was spread to Emerging markets that lost about -2.2%. On the fixed income space, both safe-havens and credit products performed. Credit spreads compressed about -32 bps for HY. The Japanese yen continues to depreciate while USD gained against EUR on the ground of political developments. Commodities are back into the positive performance zone and volatility retraced from the previous month’s increase.

Hedge funds appreciated again during March, fuelled by the ongoing normalization of market structure and modest but positive growth prospects. However, the Cyprus crisis weighed on risk appetite over the month, especially on European markets.

L/S Equity funds still outperformed the overall space of hedge funds. L/S Equity Long and Variable fund managers showed optimism regarding the reward of beta. They maintained their exposure on equities on the back of supportive valuations, decent economic growth, and still deployed excess liquidity. In that environment, the upward trend in risky assets on a global level was not expected to end soon. The L/S Equity Long and Variable Bias indices returned 1.41% and 0.40% respectively. On the other hand, L/S Equity Market Neutral and Statistical Arbitrage fund managers still enjoyed a trading environment where correlations have come down, stock dispersion is picking up and volatility remains at manageable levels. L/S Equity Market Neutral and Statistical Arbitrage funds gained respectively 0.36% and 0.82%.

Event Driven hedge funds slightly appreciated over the month. Distressed securities funds performed through credit investments in financial and energy names. The Lyxor Distressed Index registered a 0.99% gain this month. Special Situations managers suffered mainly from positions in the basic materials and government sectors. However, the Lyxor Special Situations Index registered a 2.09% gain over the month. Events on M&A deals were muted and merger arbitrage managers mainly gained on the spread fluctuations. The Lyxor Merger Arbitrage Index registered a 1.14% advance in March.

In the fixed income space, Credit related strategies were the most affected by negative developments in the Cyprus bailout case, bringing some volatility on European and, more broadly, global markets. Emerging credit managers were the main losers due to their high beta exposures. Finally, spreads on European credit default swaps slightly improved on peripheral countries during the last week. Specifically, Greek bonds improved, while emerging sovereign bonds posted mixed performances. The Lyxor L/S Credit Arbitrage Index lost -0.51% in March.

The L/S Convertible thematic benefited from the continuous upward trend experienced in the equity space and from the decent performance of credit markets. On the other hand, volatility declined on both U.S. and European equities, and the primary market was very active. The Lyxor Convertible Bonds Arbitrage Index yielded 0.99% over the month.

Global Macro strategies recorded mixed performances, with a negative contribution of their commodity exposures which offset the positive exposures to FX and bonds. Additional losses came from the funds’ largely shared long positions in Western Europe equity indices, as a result of the situation in Cyprus. The Lyxor Global Macro Index lost -0.14% over the month. Long term CTAs ended the month in positive territory thanks to their equity exposures. Long Term CTAs’ managers have increased their equity exposures over bonds in risk allocation terms since the beginning of the year. The Lyxor CTA Long Term Index advanced 1.02% in March. By contrast, high frequency funds still posted mixed performances.

“Despite the European political and economic turbulences in March, hedge fund managers continue to focus on the encouraging macro news flow generated in the US and the upward trend in risky assets is not expected to end soon ” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM.


From Lyxor's Alternative Investment Industry Barometer for the month of April, entitled: "Hedge Funds advance in March, looking beyond Europe".

Lyxor Asset Management, a subsidiary of Societe Generale Group, was founded in 1998. With over 600 professionnals worldwide, Lyxor manages USD 99.4 Bn* of assets across four performance engines: Alternative Investments, ETFs & Indexing, Multi-Asset Investments and Structured Investments. 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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  3. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  4. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released

  5. 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