Thu, Jul 31, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund investable index up 1.1% in Sept, 5.4% YTD

Monday, October 26, 2009
Opalesque Industry Updates - The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up +1.1% in September. Since the beginning of the year, the index is up 5.4%.

Alternative strategies generally performed well in September as macroeconomic data came in better than expected and risk appetite continued to increase. Over most of the period, equity markets rallied and credit spreads tightened while the US dollar continued to weaken. These trends reversed at the end of the month on worse than expected data, but this was not enough to offset prior gains.

Long/Short Equity managers generally captured the broad market movement, with long bias managers benefiting most (+2.2%). Variable bias and Market Neutral managers were flat (+0.2% and -0.1%, respectively), reflecting their lower net exposure to the market. Statistical arbitrage managers posted a +1% gain.

Merger Arbitrage and Special Situations managers performed well (+0.8% and +1.6%, respectively). Spreads on merger deals slowly tightened over the month. Several deals were completed, but Merger Arbitrage managers were able to add new positions toward the end of the month as new deals were announced. Special Situations managers have gradually taken on more net equity and credit exposure as various restructuring plays have presented themselves; these positions generally gained over the month.

Long-term CTAs rose by 1%, and Short-term CTAs gained 1.9%. Global equity markets (with the notable exception of Japan) trended upward strongly, and many CTAs captured these gains. On the other hand, funds with long positions in industrial metals or short positions in natural gas suffered on sharp moves in those products. Global Macro funds were flat: market movements at the end of the month took away hard-earned gains from previous weeks. Global macro funds with substantial bearish positions on the US dollar benefited from the greenback’s persistent decline.

Convertible and Volatility Arbitrage managers continued their impressive run, up by 2.6%. High yield bond spreads moved sharply tighter for most of the month, allowing funds invested in that space to gain more than their peers focused on investment grade names. Long/Short Credit funds benefited from similar bond dynamics, showing a 5.1% gain. Fixed income Arbitrage managers were flat this month (+0.2%).

 

Sep-09

Lyxor Hedge Fund Index

1.14%

Lyxor L/S Equity Long Bias Index

2.19%

Lyxor L/S Equity Market Neutral Index

-0.08%

Lyxor L/S Equity Statistical Arbitrage Index

-4.21%

Lyxor L/S Equity Variable Bias Index

0.99%

Lyxor Convertible Bonds & Volatility Arbitrage Index

0.18%

Lyxor Merger Arbitrage Index

2.59%

Lyxor Special Situations Index

-0.72%

Lyxor L/S Credit Arbitrage Index

0.75%

Lyxor Fixed Income Arbitrage Index

1.59%

Lyxor CTAs Long Term Index

5.15%

Lyxor CTAs Short Term Index

0.23%

Lyxor Global Macro Index

0.96%

www.lyxor.com


Be

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 Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  2. Hedge fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag

  3. Opalesque Radio: Now is a good time to buy protection cheaply in the options market[more]

    Benedicte Gravrand, Opalesque Geneva: Investors are showing an increased interest in risk parity funds and strategies, Opalesque reported last year. Risk parity strategies have the

  4. The Big Picture: Charlemagne Capital smoothes risk out of frontier market investing with portfolio approach[more]

    Benedicte Gravrand, Opalesque Geneva: Opalesque recently talked to one of the portfolio managers of the Oaks funds, which are emerging and frontier market hedge funds focusing on equity long/short with a directional approach. They are run by

  5. Winton’s low-cost equities fund tops $1bn for first time[more]

    From FT.com: Winton, the London-based hedge fund, has increased the assets in its low-cost equities fund to more than $1bn for the first time in a sign that traditional stock managers may come under increasing pressure from computer-driven rivals. Winton, which manages about $25bn in total ass