Sun, Apr 20, 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   |   
Banner
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. Opalesque Exclusive: Classic Auto Funds Limited (CAF) launches several car investing funds[more]

    Bailey McCann, Opalesque New York: A new trend in alternative alternatives is emerging - car appreciation funds. Classic Auto Funds Limited (CAF) is the first to market with several funds that make super elite luxury cars into real asset investments. As a result of growing overseas demand couple

  2. CTAs could face new challenges in a rising rates environment[more]

    Bailey McCann, Opalesque New York: CTAs have taken a beating performance wise lately, and asset flows reports show that investors aren't sticking around to see how the movie ends. Now, a new white paper from Roy Niederhoffer and Coen Weddepohl notes that as interest rates start to tick back u

  3. Investing – Big hedge funds bought Puerto Rico's junk bonds, Fidelity explores new trading venue amid flash trade concerns, Crisis-era Greek bonds reward early buyers with big effective returns, Cargill unit discloses stake in Freddie preferred[more]

    Big hedge funds bought Puerto Rico's junk bonds From Reuters.com: Several large hedge funds doubled down on Puerto Rico in last month's giant bond sale despite the U.S. territory's financial struggles, the Wall Street Journal reported, citing confidential documents reviewed by the newspa

  4. Opalesque Exclusive: Hedge fund replicators evolve[more]

    Bailey McCann, Opalesque New York: Hedge fund replicators as a group of products tend to get a bad rap from hedge fund managers who suggest that the best a replicator can offer is dynamic beta capture. A

  5. Commodities – Popular value fund manager David Iben bets on Russia, gold,[more]

    From Reuters.com: With large bets on Russia and North American gold miners, one of the best performing stock pickers in the wake of the 2008 financial crisis is back with a new fund that reflects his deep aversion to following the crowd. In the Kopernik Global All-Cap Fund, David Iben is follo