Tue, Oct 25, 2016
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.



Lyxor Hedge Fund Index


Lyxor L/S Equity Long Bias Index


Lyxor L/S Equity Market Neutral Index


Lyxor L/S Equity Short Bias Index


Lyxor L/S Equity Statistical Arbitrage Index


Lyxor L/S Equity Variable Bias Index


Lyxor Convertible Bonds & Volatility Arbitrage Index


Lyxor Distressed Securities Index


Lyxor Merger Arbitrage Index


Lyxor Special Situations Index


Lyxor L/S Credit Arbitrage Index


Lyxor Fixed Income Arbitrage Index


Lyxor CTAs Long Term Index


Lyxor CTAs Short Term Index


Lyxor Global Macro Index


Lyxor Top 10 Index


Lyxor Credit Strategies Index


Corporate website: Source


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 - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From Thisismoney.co.uk: The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From CNBC.com: Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Marketwatch.com: Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. David Einhorn speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Forbes.com: Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa