Wed, Apr 16, 2014
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   |   
Banner
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. CTAs could face new challenges in a rising rates environment[more]

    Bailey McCann, Opalesque New York: CTAs have taken a beating performance wise lately, and asset flows reports show that investors aren't sticking around to see how the movie ends. Now, a new white paper from Roy Niederhoffer and Coen Weddepohl notes that as interest rates start to tick back u

  2. Investing – Big hedge funds bought Puerto Rico's junk bonds, Fidelity explores new trading venue amid flash trade concerns, Crisis-era Greek bonds reward early buyers with big effective returns, Cargill unit discloses stake in Freddie preferred[more]

    Big hedge funds bought Puerto Rico's junk bonds From Reuters.com: Several large hedge funds doubled down on Puerto Rico in last month's giant bond sale despite the U.S. territory's financial struggles, the Wall Street Journal reported, citing confidential documents reviewed by the newspa

  3. Commodities – Popular value fund manager David Iben bets on Russia, gold,[more]

    From Reuters.com: With large bets on Russia and North American gold miners, one of the best performing stock pickers in the wake of the 2008 financial crisis is back with a new fund that reflects his deep aversion to following the crowd. In the Kopernik Global All-Cap Fund, David Iben is follo

  4. Opalesque Exclusive: Pensions, endowments, family offices reconsider life settlement investments[more]

    Bailey McCann, Opalesque New York: Hedge funds were once the largest investors in the life settlement industry, now the industry is seeing more interest from pensions, endowments and family offices directly. Life settlements have always been considered a niche part of the investing landscape, an

  5. SEC allows investment funds to use social media[more]

    Bailey McCann, Opalesque New York: The Securities and Exchange Commission (SEC) has released new guidance letting investment funds and advisors use social media to promote client reviews. The guidance seeks to assist investment managers in developing compliance policies and procedures reasonably