Wed, Sep 28, 2016
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. Nobel Sustainability Trust, Prince Albert II of Monaco help launch major new initiative to drive sustainable technologies[more]

    Matthias Knab, Opalesque: The Nobel Sustainability® Trust ("NST") is leading a major new initiative to finance, incubate and accelerate the development of clean technologies. The initiative will start with the formation of the Nobel Sustainability Fund® ("NSF"). NSF will drive faster access t

  2. Studies - Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements, Cambridge: Look to private investments for best access to LatAm growth[more]

    Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements A new study of the hedge fund space by industry law firm Seward & Kissel LLP reveals a wealth of information regarding established hedge fund managers’ use of side letters—special agreements

  3. Activist News - Caesars 'optimistic' on deal with hedge fund creditors[more]

    From Reuters.com: Caesars Entertainment Corp said on Monday it remains "optimistic" of reaching a $5 billion deal with the bulk of its creditors to push its main operating unit out of bankruptcy, but one hedge fund bondholder said it will pursue litigation. Caesars offered a sweetened $5 billion set

  4. Hedge funds recover from losses as central banks give markets a respite[more]

    Komfie Manalo, Opalesque Asia: The Lyxor Hedge Fund index was up 0.4% from the week ending September 20 (-2.4% YTD), supported by the willingness of central banks to remain accommodative, Lyxor Asset Management said in its weekly briefing. It ad

  5. Perry Capital closing flagship fund after almost three decades[more]

    From Blooomberg.com: Richard Perry, one of the biggest names in hedge funds, is calling it quits after 28 years. Perry, 61, is winding down his New York-based flagship fund as the industry confronts one of the most tumultuous periods in its history. In a letter to investors Monday, he said his style