Fri, Feb 27, 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 was up 0.9% in April, lifting YTD gains to 3.0%

Wednesday, May 12, 2010
Opalesque Industry Update - 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 +0.9% in April, lifting year to date gains to 3.0%.

April was a contrasted month for risky assets. The month had started on a solid footing, underpinned by a favourable bottom up earnings picture and solid readings in most economic indicators. End of the month, however, fundamental issues again came to the forefront. Investors realised that the recession had a cost, and that this cost was palatable in the deterioration of sovereign accounts. Spreads on Greek and Southern European Government bonds surged, while the German Bund benefited from flight to safety. The euro dropped, as confidence in Europe’s ability to manage the crisis waned. This quite unstable environment was detrimental to equity related strategies, and they gave back part of the gains recorded in the first three weeks of the month.

However, some managers found strong support in April markets. Typically, Fixed Income managers posted this month’s strongest returns. The index was up by 3%. Coupled with a helpful flight to quality effect, spread and curve arbitrage were a strong source of performance. L/S credit mangers gave back some gains as the sovereign spread widening filtered through to credit indices. Nevertheless, the strategy rose by 1.9%. As for Convertible Bond managers (+1.8%), they profited from rising volatility and negative equity deltas.

The “sovereign disruption” also offered opportunities in foreign exchange markets. The Global macro index rose 0.8%, but dispersion of returns was high. Managers with limited equity positions and high conviction short euro (typically against the greenback and emerging currencies) realised attractive gains. These same positions, coupled with long interest rate futures exposures were, on average, helpful for CTAs. Long term models rose by 1.3%, while shorter time frame systems recorded a more limited 0.3% gain.

Even though they suffered from the end of month turbulence, Special Situations remain a steady and strong earner, up by 1.4%. Some funds managed to smooth performance thanks to their macro hedging related to sovereign risk. Merger arbitrage offered a more limited 0.9% performance, due to some volatility in the pharmaceutical sector. The Distressed index gained also +0.9%.

L/S equity managers retained their defensive positioning. Long bias managers display a prudent net long 48% exposure. As for variable bias managers, they cut net exposure to 29% by the end of the month. Monthly performance for both strategies was of 0.2% and -0.2%, respectively. Statistical Arbitrage had some rough trading sessions, down by 1%.

2010

April

Lyxor Hedge Fund Index

0.92%

Lyxor L/S Equity Long Bias Index

0.24%

Lyxor L/S Equity Market Neutral Index

0.03%

Lyxor L/S Equity Short Bias Index

-1.64%

Lyxor L/S Equity Statistical Arbitrage Index

-1.04%

Lyxor L/S Equity Variable Bias Index

-0.17%

Lyxor Convertible Bonds & Volatility Arbitrage Index

1.79%

Lyxor Distressed Securities Index

0.87%

Lyxor Merger Arbitrage Index

0.91%

Lyxor Special Situations Index

1.40%

Lyxor L/S Credit Arbitrage Index

1.95%

Lyxor Fixed Income Arbitrage Index

3.02%

Lyxor CTAs Long Term Index

1.30%

Lyxor CTAs Short Term Index

0.34%

Lyxor Global Macro Index

0.76%

Lyxor Top 10 Index

1.43%

Lyxor Credit Strategies Index

2.29%

www.lyxor.com


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. Opalesque Exclusive: Very small CTA averages 6.90% per month since April’14 inception[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: There aren’t many one-man shops around in the hedge fund world but we talked to one. Andrew S. Peskin, who is ba

  2. Investing - Top U.S. hedge funds cut Apple stakes ahead of all-time high, John Paulson holds gold ETF in Q4 but cuts back on some miners, Hedge funds exited tumbling oil company shares late last year, Some top investors exit Herbalife, Soros added shares in fourth quarter, Moore Capital boosts U.S. financial holdings, reduces China bets[more]

    Top U.S. hedge funds cut Apple stakes ahead of all-time high From Reuters.com: Top U.S. hedge fund management firms, including David Einhorn's Greenlight Capital and Philippe Laffont's Coatue Management, reduced their stakes in Apple Inc during the fourth quarter, ahead of the iPhone mak

  3. Opalesque Exclusive: Skënderbeg launches four single-manager funds with Your Wealth AG[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Skënderbeg Funds AGmvK, an investment fund for qualified investors under Liechtenstein law (umbrella fund),

  4. Opalesque Roundtable: Many Swiss investors are questioning the value proposition of hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva: There is a well-known transition among investors in hedge funds between high-net-worth individuals and institutional investors, Ian Hamilton, head of the IDS Group, said during the recent

  5. UCITS HFS Index starts year on positive note with 1.09% gains in January[more]

    Komfie Manalo, Opalesque Asia: The UCITS HFS Index started the year on a positive note gains of 1.09% in January after finishing 2014 with a modest performance of 1.62%. Index provider 2n20 said th