Tue, Sep 26, 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 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. iCapital Network enters deal to acquire innovative U.S. private equity access fund platform from Deutsche Bank[more]

    Komfie Manalo, Opalesque Asia: Financial technology platform iCapital Network has entered into a definitive purchase agreement to acquire the US Private Equi

  2. Neuberger Berman closes $1.1bn Credit Opportunities Fund[more]

    Neuberger Berman, a private, independent, employee-owned investment manager, announced that NB Private Equity Credit Opportunities Fund LP closed on $1.1 billion of limited partner commitments. The Fund seeks to invest in the secured and unsecured debt of private equity-backed companies, primarily i

  3. Capital Dynamics launches mid-market private credit business[more]

    Capital Dynamics, a global private asset manager, has launched a dedicated Private Credit Asset Management business. Experienced industry executives Jens Ernberg and Thomas Hall have joined Capital Dynamics to co-lead the company's new private credit initiative. They are based in Capital Dynamics' N

  4. Artificial intelligence may replace 40% of all jobs: Bridgewater founder Ray Dalio[more]

    From Foxbusiness.com: Bridgewater Associates founder Ray Dalio said Friday that almost half of the jobs in the next two decades will be replaced by artificial intelligence. "By in large, the world is going to largely consist of people who can take language and put it into code, which then allo

  5. Opalesque Exclusive: US investment firms must have tailored cybersecurity policies and procedures in place[more]

    Benedicte Gravrand, Opalesque Geneva: Cyber attacks are on the increase. One of the last victims was Equifax, a US credit scoring agency. As a result of its insufficient cybersecurity program, the agency was slapped with state and federal investigations, private lawsuits and a summons for chief e