Mon, Oct 23, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund index +2.1% in March, long/short credit arb +3.9% (+4.38% YTD)

Wednesday, April 14, 2010
Opalesque Industry Updates - 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 +2.1% in March.

Generally quiet and trending markets yielded a robust month of gains for many hedge fund managers in March 2010. Equities rose sharply, credit spreads reversed their widening due to worries over February’s Greece worries, and volatility drifted ever lower. Managers with a long bias toward riskier assets benefited more than their more conservative peers.

Short-Term CTAs rebounded from their recent slide, gaining 1 % on the back of steadily rising equity markets. Similarly, Long-Term CTAs generated significant performance numbers, rising 4.8%. Many CTAs benefited over this period due to the generally buoyant markets in equities and metals, as well as the strengthening of the USD versus the euro. Short-Term CTAs lagged their potential, as some funds have decreased risk exposures following recent drawdowns.

The Lyxor Global Macro Index was up +1.3% on the month, but performances varied widely across managers. The strategy contains managers with a variety of opinions on the outlook for the global economy, and the returns reflect that fact. Long equity positions were a strong return driver for bullish managers and short ones were a drag for more pessimistic ones. A weaker dollar versus Emerging Markets currencies and a weaker euro provided the wherewithal for gains. The Fixed Income Arbitrage managers benefited from the positive environment, gaining +2.7% (despite the worries of many commentators regarding the Fed’s exit strategies).

L/S Credit Arbitrage managers posted a solid +3.9% gain on the month. Similarly, the Lyxor Distressed Index rose +0.6%. Despite lingering difficulties and fears regarding the European sovereign debt situation, spreads in credit markets generally tightened. Gains in the distressed space came from defaulted bond positions and restructurings. Three significant factors contributed the modest performance of managers in the Lyxor Convert Arbitrage Index, which rose +0.6% over the period (with a year-to-date performance of -0.5%). Rallying equity and credit markets provided offsetting drivers, with lower volatility pressuring valuations and tightening credit spreads supporting them. Issuance of new bonds was quite strong compared to recent months, although issuance significantly lags the highs of the mid-2000s.

Performance in the Event Driven space continued to be strong. The Lyxor Merger Arbitrage Index continued its steady rise (+1.6%), while the Special Situations Index managers benefited (+2.7%) from strong performance in both equity and credit markets. Gains in financials provided a significant boost to many Special Situations managers. Within the equity space, the Lyxor Indexes show broad-based gains. Not surprisingly, the L/S Equity Long Bias Index led the pack with +2.6% gains, although the Variable Bias Index followed close behind with +2.0% gains. Equity strategies with structurally low market exposure were able to generate alpha, but the absolute numbers naturally lagged their directional peers in such a strongly directional market. The Statistical Arbitrage Index and the Market Neutral Index gained both +0.8%.

Full performance table: Source

kb

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. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad