Fri, Feb 23, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor’s investable Global Hedge Fund index +0.3% in February

Thursday, March 11, 2010
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 +0.3% in February.

Risk assets fluctuated dramatically during recent weeks. Prices climbed a bit at the end of January, fell sharply on concerns regarding European markets (the proximate cause was recognition of Greece’s difficulties), and then rallied back toward their starting points as February drew to a close. The volatility helped distinguish active managers from ones relying on bull markets.

The standout managers during this period tended to be in less directional, arbitrage-oriented strategies. For example, the Fixed Income Arbitrage index rose 2.1% over the period as managers were able to monetize the volatility in the fixed income and mortgage backed securities markets.

Within the equity space, Statistical Arbitrage fared well, with the index gaining 0.3%. The Merger Arbitrage index continued the slow and steady gains from January to climb 0.6% in February.

Several strategies posted modest gains. The Lyxor L/S Credit index posted a small gain (0.2%). L/S Equity – Long Bias managers rose 0.6%. Special Situations managers were beset with sharp declines early in the month on net long position in financial stocks, especially European ones, and struggled to make up the deficit before the month ended. The Index was nevertheless up by 0.6%.

Trend following managers rebounded this month: Long-Term CTAs were up 1.4%. The Short-Term CTA index had a more difficult month and was down 0.2%.

L/S Equity – Market Neutral managers faced a small loss, with the index declining 0.4%. The L/S Equity – Variable Bias index indicates that managers in that space continue to struggle (the index is down 0.5% on the month).

The Lyxor Convertible Arbitrage index declined 1.1%. Managers faced downward pressure on convertible valuations due to declining volatility; the VIX actually ended the month below where it began. Distressed index posted losses on the month (down 0.7%). Global Macro managers were up 0.2%. FX positioning provided significant gains to some managers; for example, the EUR provided a significant trend as the value moved to a ten month low.

 

Feb-10

Lyxor Hedge Fund Index

0.33%

Lyxor L/S Equity Long Bias Index

0.62%

Lyxor L/S Equity Market Neutral Index

-0.37%

Lyxor L/S Equity Short Bias Index

-4.68%

Lyxor L/S Equity Statistical Arbitrage Index

0.28%

Lyxor L/S Equity Variable Bias Index

-0.49%

Lyxor Convertible Bonds & Volatility Arbitrage Index

-1.12%

Lyxor Distressed Securities Index

-0.69%

Lyxor Merger Arbitrage Index

0.60%

Lyxor Special Situations Index

0.56%

Lyxor L/S Credit Arbitrage Index

0.24%

Lyxor Fixed Income Arbitrage Index

2.09%

Lyxor CTAs Long Term Index

1.35%

Lyxor CTAs Short Term Index

-0.23%

Lyxor Global Macro Index

0.24%

Lyxor Top 10 Index

0.65%

Lyxor Credit Strategies Index

0.67%

Corporate website: Source


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. Art & Motion launches collectible car alternative investment vehicle[more]

    Komfie Manalo, Opalesque Asia: Luxembourg-based Art & Motion has launched a new investment vehicle dedicated to vintage cars and exceptional high-quality vehicles as this collectible market has grown exponentially the turn of the centu

  2. Opalesque Exclusive: Global Sigma captures February's long-vol trade[more]

    Bailey McCann, Opalesque New York for New Managers: Florida-based Global Sigma rode February's volatility to new highs. The firm's AGSF strategy is up +2.8 percent through February 16 and +4.2 percent YTD a

  3. Institutional Investors - Hedge funds regain their appeal for a $57 billion asset manager, Private credit strategies in stratosphere[more]

    Hedge funds regain their appeal for a $57 billion asset manager From Bloomberg.com: With volatility back on the radar, one of the Nordic region's biggest asset managers is considering relying a bit more on hedge funds to help oversee his portfolio. Mikko Mursula, the chief investment off

  4. Investing - All aboard for hedge funds as trade tide lifts shipping, Hedge funds pile into Time Warner in bet on merger success[more]

    All aboard for hedge funds as trade tide lifts shipping From Reuters.com: Forced to abandon ship after mistiming their investments five years ago, hedge funds are venturing back in a bid to profit from growing global trade flows. Around 90 percent of traded goods by volume are tran

  5. Investing - Hedge funds turn short on tech just as stock rally takes off, After biggest short, speculators slash bearish US bond bets as supply deluge looms[more]

    Hedge funds turn short on tech just as stock rally takes off From Newsmax.com: A key group of investors has just missed out on the biggest tech-stock rally since 2014. Hedge funds and other large speculators turned net short on Nasdaq 100 Index futures for the first time in 21 months, ac