Wed, Jun 20, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index up 0.5% in February (1.73% YTD) as alternatives prove resilient despite mixed signals

Thursday, March 07, 2013
Opalesque Industry Update - The Lyxor Hedge Fund Index was up +0.15% in February 2013, bringing year-to-date performance to +1.73%. 8 Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Lyxor Fixed Income Arbitrage Index (+2.06%), the Lyxor L/S Equity Market Neutral (+1.65%) and the Lyxor L/S Equity Variable Bias Index (+1.59%).

G3 dominance on world financial markets continued in February, this time raising investors’ risk aversion. Worries about the impact of fiscal restraint on the U.S. economy and the disappointing results of the Italian elections that leave the country in a political deadlock combined to put a halt on the rally risky assets enjoyed in January. However performance was quite mixed. Eurozone equities suffered the most as recently published data kept suggesting weak fundamentals. U.S. equities proved resilient, backed by a solid macro news flow and Ben Bernanke’s testimony which smoothed fears of a premature shift in the Fed’s QE regime. Japanese stocks buoyed by upward revisions in earnings and hopes that the BoJ will turn to a more reflationary stance, seemed immune and advanced further.

While safe-haven sovereigns benefited from this bout of risk aversion, overall equity markets lost some ground and the MSCI World index declined 0.2 % in USD terms.

Managers remained constructive as evidenced by the market beta exposure they chose to hold: the median equity beta on the Lyxor platform changed little recently at about 30%, a level comparable to those observed in the spring 2011, before the euro crisis.

Noticeably, again this month L/S equity market neutral funds stand out as one of the best performing strategies, which brings year-to-date performance to 6.81%. Managers, that had increased leverage, took advantage of the opportunities offered by the earnings season. The increased dispersion did offset the negative impact related to the spike in volatility and benefited to alpha generators.

Two Event Driven sub-strategies out of three were down in February with the Lyxor Special Situations and Distressed Securities indices losing 1.06% and 0.37% respectively over the month. Merger Arbitrage funds proved rather resilient with an overall gain of 0.73% on the related Lyxor Index. The recent resurgence in merger activity was mainly driven by industryspecific events which traded very tightly and had a limited impact on the P&L of dedicated arbitragers.

L/S Credit Arbitrage funds returned flat performance while their Convertible Arbitrage peers slightly eroded over February as the environment for credit markets turned more challenging, with spreads widening particularly in Europe. Though credit arbitragers generated positive alpha, they did not manage to fully de-correlate from the negative backdrop. Investors’ renewed appetite for high grade sovereigns and tensions on Italian debt benefited to managers in the fixed income and global macro spaces. Yet, many of the global macro funds posted losses over the month with commodities being a major detractor from performance. The Lyxor Global Macro Index declined 0.74% in February.

Sliding equity and commodity markets weighted the most on long term CTAs that had turned long equity. The Lyxor CTA Long Term and Short Term indices lost in February 1.22% and 0.15% respectively.

“The unexpected outcome of the Italian elections has hit many hedge fund managers this month but a full-blown financial crisis is definitely not on their agenda ” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM.

Lyxor 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. Lyxor recommends stockpicking strategies, L/S equity hedge funds well equipped for turbulent markets[more]

    Matthias Knab, Opalesque: Market developments in May saw some trend reversals across the fixed income and commodity space. On the one hand, the unfolding of the Italian political crisis coincided with a rebound of U.S. Treasuries during the second half of May. On the other hand, the rising likeli

  2. North America - George Soros: 'Everything that could go wrong has gone wrong'[more]

    From Marketwatch.com: George Soros, tell us how you really feel. 'Everything that could go wrong has gone wrong. [Trump] is willing to destroy the world.' The 87-year-old billionaire clearly isn't shy about expressing his generally liberal views and distaste for Trump's "America First" platform,

  3. Paper: The performance of stocks actively pitched by hedge funds[more]

    Using a novel dataset drawn from investment conferences from 2008 to 2013, I show that hedge funds take advantage of the publicity of these conferences to strategically release their book information to drive market demand. Specifically, hedge funds sell pitched stocks after the conferences to ta

  4. North America - US fundraising for special purpose acquisition vehicles hits record this year[more]

    From AFR.com: Special purpose acquisition vehicles (spacs) are hitting the US market at the fastest rate on record, attracting the likes of Goldman Sachs and hedge fund investor Daniel Loeb for the two largest such deals in 2018. Spacs have raised $US4.5bn so far in 2018, the largest amount fo

  5. Investing - Man Group and AQR try to take aim at private equity industry, Hedge funds poised to be winners in AT&T-Time Warner deal[more]

    Man Group and AQR try to take aim at private equity industry From FT.com: The popularity of private equity investments has prompted asset managers such as Man Group and AQR to devise strategies that aim to replicate PE returns but at a much lower cost to investors. Both companies a