Tue, Apr 28, 2015
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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  4. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

  5. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

 

banner