Fri, May 29, 2015
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 Lyxorís 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 Februaryís 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 Fedís 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. Opalesque Exclusive: New TMT hedge fund adopts the long-term approach[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Adam Parker founded Center Lake Capital LLC in New York in November 2014. Before that, he was portfolio manager at Point State Capital (the successor fund to Dr

  2. Regulatory - Hedge funds face tax as Iceland poised to end capital controls, Comment: Why alternatives need more transparency, not enforcement[more]

    Hedge funds face tax as Iceland poised to end capital controls From Bloomberg.com: Hedge funds and other investors who bought claims against Icelandís failed banks face a tax that targets the lendersí estates as the government prepares to unveil its plan for exiting capital controls in t

  3. Investing - Nelson Peltzís Trian Fund Management reduces position in Legg Mason, Biotech investors up big amid bubble talk, Hedge funds increase exposure in healthcare[more]

    Nelson Peltzís Trian Fund Management reduces position in Legg Mason From Octafinance.com: Trian Fund Management has filled a SC 13D/A form regarding Legg Mason, Inc. Per Nelson Peltzís Trian Fund Managementís filing, the filler reported decreased stake in the company by -11.05% to 11,03

  4. All hedge fund strategies rebounded last week as market conditions normalize[more]

    Komfie Manalo, Opalesque Asia: After a difficult start this month, all hedge fund strategies ended last week in positive territory, as the Lyxor Hedge Fund Index gained 0.9% (-0.2% MTD, 3.3% YTD). According to Lyxor AMís latest Weekly Briefing, in t

  5. Billionaire hedge fund investor Odey says April 'bloody', has cut risk[more]

    From Reuters/Yahoo.com: Billionaire hedge fund manager Crispin Odey has cut risk and leverage following a stunning 19.3 percent loss in his 3.1 billion euros (2 billion pounds) Odey European Inc fund in April, a letter to investors seen by Reuters showed. Describing the month as "bloody", Odey

 

banner