Fri, Mar 24, 2017
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. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He