Thu, Aug 28, 2014
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. Study shows what resonates with investors: 'Unwavering', 'passionate' beats 'committed', 'dedicated' and more surprises[more]

    Komfie Manalo, Opalesque Asia: A new study by Pershing Square, a unit of BNY Mellon company, showed that an effective value proposition strengthens audience connections and fosters growth, yet many advisors have had little objective guidance in formulating such statements until now. In the

  2. Hedge fund assets decline in July - eVestment[more]

    Bailey McCann, Opalesque New York: Total assets in hedge funds declined in July and dropped 0.49%, marking the industry's second monthly asset decline in 2014, according to the latest asset flows data from eVestment. Despite the asset decline, total industry AUM remained above the $3 trillion

  3. AIMA makes 'the case for hedge funds'[more]

    Bailey McCann, Opalesque New York: The Alternative Investment Management Association (AIMA), the global hedge fund industry body,

  4. Managed futures' global diversification is important in next phase of economic recovery[more]

    Komfie Manalo, Opalesque Asia: The global diversification provided by managed futures may prove to be extremely valuable as the markets enter the next phase of the economic recovery, said Campbell & Company, a pioneer in absolute return invest

  5. Ex-UBS prop trader's hedge fund Manikay Partners eyes UK launch[more]

    From eFinancialnews.com: Manikay Partners, a $1.7 billion US multi-strategy hedge fund set up in 2008 by a proprietary trader from UBS with backing from Goldman Sachs, is planning to open in the UK. New York-based Manikay's move into Europe comes after Financial News revealed on Monday that Aurelius