Wed, May 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 up +0.7% in July, 0.8% YTD

Friday, August 13, 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 +0.7% in July, lifting year to date gains to 0.8%.

Equity markets delivered solid gains in July 2010, as major Western indexes posted gains in the 6-7% range. Investors appeared pleased with the European stress test results and strong U.S corporate earnings. This provided a tailwind for L/S Equity managers, especially if they were exposed to high-performing sectors such as technology and industrials. Japanese exporters and markets were, however, weighed down by the strong yen.

Many equity managers have retained a relatively low net exposure to markets, however, and a significant portion of their gains is due to judicious stock selection. The Lyxor L/S Equity Long Bias Index gained 2.2% on the month, while the Variable Bias Index gained just 0.3%. Structurally neutral managers continue to struggle with record-high correlations (and correspondingly record low dispersion) among single stock returns. The Lyxor L/S Equity Market Neutral Index gained 0.2% while the Statistical Arbitrage Index was flat.

Many CTA and Global Macro managers lost ground in July 2010. The Lyxor CTA Long-Term Index declined -1.4% on the month, and the Short-Term Index fell -1.0%. The Lyxor Global Macro Index declined -0.4%.

The popular short euro positioning had been a winner for much of the year, but the EUR gained approximately 6% versus the USD over the month, generating losses for many. The rise in equity markets also detracted from some CTA performances, as many medium-term CTAs had previously cut long equity exposures and had, in many cases, moved to net short exposures. Bond exposures did not generally provide gains, either. Although the USD lost value versus the euro, it gained versus gold. Managers with long gold exposures therefore suffered as deflation fears apparently trumped inflation fears.

Within the Event Driven space, Merger Arbitrage managers continued their gains (+1.5% for the Lyxor Index on the month, and +2.9% on the year-to-date). General spread tightening was aided by increased offer prices for some deals. Many Special Situations managers have substantial allocations to financial names, and the strong performance by this sector gave them a boost (the Lyxor Index gained 1.6%). Distressed managers also benefited, with the Lyxor Index gaining 0.6%.

The relief rally in equity markets also extended to credit markets. Broad indexes of credit spreads fell sharply, benefiting many managers. The Lyxor L/S Credit Index gained 1.4% despite generally modest volumes and liquidity. High yield and emerging market debt (e.g., Argentinean paper) showed solid gains. The Lyxor Convertible Arbitrage Index gained 1.6% due to the same factors that aided general L/S Credit managers. Convertible issuance remains low, although one large deal did occur late in the month. The Lyxor Fixed Income Index posted gains of 2.9% in this environment... Corporate website: Source
PD

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: SEC approves proposed changes to Form ADV, '40 Act - comment period to follow[more]

    Bailey McCann, Opalesque New York: Hedge funds and providers of liquid alternatives will want to pay close attention to proposed reforms approved by the SEC yesterday. The changes will require more frequent reporting, as well as a closer look into social media, liquid alternative strategies, and

  2. Investing - Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds, Hedge funds buy Actavis, Valeant. ETFs join the party, The most loved biotechs of big hedge funds, Stocks to buy ... according to hedge funds, Atlantic City bond offering attracts hedge funds as buyers, Okumus Fund Management discloses huge new Ascent Capital Group stake[more]

    Hedge funds buy swathes of foreclosed subprimes, force up rents, float rent-bonds From Boingboing.com: When a giant hedge fund is bidding on all the foreclosed houses in a poor neighborhood, living humans don't stand a chance -- but that's OK, because rapacious investors make great landl

  3. Institutions - Institutional investors turn to real estate, planes, Assets at Boston’s five biggest family nonprofits rise to $3.5bn[more]

    Institutional investors turn to real estate, planes From Joins.com: The National Pension Service and domestic emerging market specialists who did not know where to invest in a low interest rate environment are turning to other investments like the blue-chip real estate market abroad.

  4. Opalesque Exclusive: A lot of hedge fund investors are beginning to recognise the need for ongoing cyber threats monitoring[more]

    Benedicte Gravrand, Opalesque Geneva: Corporate Resolutions Inc. recently formed a strategic partnership with iThreat Cyber Group. The two companies have worked together for years, assisting clients when challenging

  5. Opalesque Exclusive: BMO launches multi-strat '40 act fund[more]

    Bailey McCann, Opalesque New York: As we reach new market highs, investors are looking for a way to diversify and protect their portfolios from a potential market correction. Liquid alternatives are rapidly gaining ground as a critical tool for investors to use to mitigate downside risk. The BMO

 

banner