Sat, Aug 2, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index gains 0.2% in September (+2.2% YTD) as momentum continues for alternative strategies

Monday, October 08, 2012
Opalesque Industry Update - The Lyxor Hedge Fund Index gained 0.2% in September 2012 (+2.2% in 2012). 11 Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Lyxor Event Driven - Special Situations Index (+2.2%) and the Lyxor L/S Equity – Long Bias Index (+1.5%).

Hedge fund momentum continued in September. The sharp move in the markets occurred early in the month as the ECB’s plan for unlimited bond purchases came into focus. For the remainder of the month, markets were relatively calm and exhibited low correlations among individual securities. Volatility was low, as markets did not lurch erratically from euphoria to fear. Fundamentals generally overrode emotions, meaning that some risk assets rose in value (e.g., equities and corporate bonds) and some fell (e.g., agricultural commodities and crude oil). This environment benefited nearly all hedge funds strategies, with the exception of CTAs, which often act as the de-correlated portfolio diversifier.

Credit-oriented funds chalked up another positive month to make it four in a row. The Lyxor L/S Credit Index gained 1.2% in September, yielding a 6.4% gain for 2012 so far. The index has gone up in eight of the past nine months. The choice of “shorts” in Long/Short is becoming more crucial as spreads are generally tighter than they have been in over a year. Even though credit spreads have not moved in a straight line this year, L/S Credit funds have exhibited remarkable persistence in navigating the environment and managing exposures.

Equity-oriented hedge fund managers also found continued traction. The Lyxor L/S Equity – Long Bias Index gained 1.5% for a year-to-date performance of 8.7% (the best performance of any of the strategy indices). The index has now gained for four consecutive months. The L/S Equity Variable Bias managers displayed more mixed performance, with the Index gaining a more modest 0.4%. Managers had increased exposures as the summer equity rally gained steam but have taken them down a bit as the rally has faded. The Market Neutral Index declined 1.4% and the Statistical Arbitrage Index gained a solid 0.6% (+4.2% on the year).

Event Driven managers performed solidly as both equity and credit markets provided opportunities. The Special Situations Index gained 2.2% with good performance by most managers in that space. Outperformers often exhibited heavy exposure to gold or gold miners. The Merger Arbitrage Index continued its positive trajectory with a 0.1% gain. The Distressed Index posted 0.4% gains (up 5.7% year-to-date); the Index has gained every month this year but one.

Global Macro funds extended their summer rebound, with commodity and foreign exchange market moves providing the differentiation among funds. The few managers who were long euro or short agricultural commodities easily bested their peers. The Index gained 0.3%. Fixed Income Arbitrage and Convertible Arbitrage gained 0.9% and 0.5%, respectively. The Fixed Income Arbitrage Index now stands at +8.2% on the year, the second highest return for a Lyxor Strategy Index.

CTAs, both short term and trend followers, posted negative returns this month, respectively -2.3% for the Long Term CTA Index and -1.0% for the Short Term CTA Index. While trendfollowing CTAs gained on generally rising equity markets (which they were long), they also suffered losses on long positions in agricultural commodities, energy, and the US dollar. The rise and subsequent decline of U.S. Treasury yields meant that the persistent long bond positioning of CTAs did not particularly benefit or detract from performance.

>> “Hedge fund managers had a hesitant if not cautious view on Europe which led to low directionality and leverage in portfolios. That has started to be adjusted upwards during September” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM.

Lyxor Flash - the alternative investment industry barometer.

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: Kyria Capital Management bets on women hedge fund managers[more]

    Bailey McCann, Opalesque New York: As hedge fund assets top $3 trillion, and long/short strategies get more crowded than ever, with every manager hunting for even the tiniest bit of alpha, a new firm has emerged that claims its own edge – women. A recent Rothstein Kass study showed women-owned a

  2. Opalesque Exclusive: Q2, H1 end positively for hedge fund performance[more]

    Bailey McCann, Opalesque New York: New hedge fund monitor data from Citi Prime Finance shows that overall, hedge funds ended the month of June and the first half of the year positively. Composite hedge fund performance, equal-weighted across funds, ranged from +0.93% to +1.73%. June-14 performa

  3. Many CTAs have become more short-volatility in the last five years[more]

    Benedicte Gravrand, Opalesque Geneva: Quantitative easing has reduced and then suppressed volatility for the last five years. So analysts at R.G. Niederhoffer Capital Management recently examined if there had been a tendency for CTAs and hedge funds to adjust their styles to become more 'shor

  4. Other Voices: Event driven strategy outlook: Broader focus required[more]

    This article was authored by Alex Gavrish, founder and CEO of Etalon Investment Research, and author of "Wall Street Back To Basics."

  5. Other Voices: Not so easy to replicate activist hedge funds and achieve similar performance[more]

    This article was authored by Alex Gavrish, founder and CEO of Etalon Investment Research, and author of "Wall Street Back To Basics." With the amount of activist investments on the rise during the last few years, more and more media at