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%).