Sun, Apr 26, 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 down 2.2% in May, up 0.7% YTD

Friday, June 11, 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 down -2.2% in May. Year-to-date the Lyxor Global Hedge Fund index remains in positive territory as it gains 0.7%.

Risky assets got hammered during the month of May and so were most alternative investment strategies. The month started on the downward trend registered the month before. Sovereign fears marked a pause for just three days in the aftermath of the decision taken by European heads of government and of State on May 9th to set up a coordinated rescue package.

The subsequent slide in asset prices was all the more impressive. US Treasuries, US Dollar and the German Bund benefited from flight to safety whereas sovereign risk contagion could not be contained to peripheral European countries.

This unstable environment was detrimental to most equity and credit-related managers, many of them erasing a big chunk of the gains made so far this year.

Yet, some managers were able to monetize the challenging environment. In May 2010, those were typically to be found among the CTA and Global Macro strategies. In particular, the sovereign risk theme offered opportunities in the forex and fixed income markets. Dispersion among systems and managers was high as trading in commodities, Metals and Energy in particular, proved difficult and generated some losses in portfolios. The Short term CTA index was up 1.8% in May while the long term CTA index and the Global Macro index lost -1.8% and -1.1% respectively.

Among L/S equity strategies, managers having a long bias were most hit. The index was down -4.0%. Variable bias managers (the index lost -1.4% during the month) and market neutral managers (the index was flat), mitigated the losses in that segment. Statistical arbitrage managers registered a flat performance overall (the index won 10bp in May).

In the Event Driven segment, Distressed, Merger Arb and Special Situations managers suffered from the market turbulences. The merger arbitrage index, offering more limited net exposure to risky assets, was down -2.2%. Special situations managers were hit both through their long credit book and post-reorganization equity exposures (the index was down -4.3% during the month). Managers with a significant exposure to Financials suffered most.

Fearing European contagion, Asian slowdown and financial reforms, investors strongly de-risked their portfolios which naturally led to wider credit spreads. Both Convertible Arbitrage (the index lost -3.8% in May) and L/S Credit Arbitrage strategies (the index gave back -3.2% during the month) were hit as spreads widened in Investment Grade and High Yield segments. Convertibles sharply cheapened. It was difficult for Vol players to monetize that environment as the volatility of the volatility experienced new spikes.


May
Lyxor Hedge Fund Index -2.22%
Lyxor L/S Equity Long Bias Index -4.01%
Lyxor L/S Equity Market Neutral Index 0.11%
Lyxor L/S Equity Short Bias Index 5.95%
Lyxor L/S Equity Statistical Arbitrage Index 0.12%
Lyxor L/S Equity Variable Bias Index -1.40%
Lyxor Convertible Bonds & Volatility Arbitrage Index -3.76%
Lyxor Distressed Securities Index -0.45%
Lyxor Merger Arbitrage Index -2.19%
Lyxor Special Situations Index -4.25%
Lyxor L/S Credit Arbitrage Index -3.15%
Lyxor Fixed Income Arbitrage Index -3.54%
Lyxor CTAs Long Term Index -1.83%
Lyxor CTAs Short Term Index 1.81%
Lyxor Global Macro Index -1.07%
Lyxor Top 10 Index -3.49%
Lyxor Credit Strategies Index -2.89%

Corporate website: www.lyxor.com

- FG

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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

  4. Update: Wall Street has strong feelings about Jon Corzine trying to make a comeback[more]

    From Businessinsider.com.au: Former New Jersey Governor Jon Corzine is thinking about starting his own hedge fund, according to the Wall Street Journal, and because of the way his last firm imploded, Wall Street has strong feelings about that. “Truth is the larger seeders would never give him money

  5. Opalesque Exclusive: Cybersecurity and hedge funds - A manager’s experience, Part Four[more]

    Benedicte Gravrand, Opalesque Geneva: Ruane, Cunniff and Goldfarb, Inc. used to have their own IT infrastructure. Todd Ruoff, Executive Vice President in charge of trading, operations and technology, was responsible for its maintenance. Then he started looking at outsourced providers a couple of

 

banner