The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was flat in June.
The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was flat in June.
Since the beginning of the year the index is up 2.2 per cent.
Equity markets began to lose momentum in June, but most markets still showed positive gains for the month. Consistent with the trend toward normalizing markets, alternative strategies that benefit from such conditions had strong performances in June.
Event-driven funds had positive performances this month, merger arbitrage added 1.6 per cent, and special situations funds were up 1.1 per cent.
Within equity market strategies, managers with significant equity directionality outperformed those with more defensive positioning. L/S equity long bias managers gained 2.5 per cent, while the L/S equity variable bias managers posted returns of -0.2 per cent.
Statistical arbitrage managers were able to monetize the normalization of the markets and gained 1.9 per cent. Market neutral managers were penalized by sharp shifts in market behaviour and only gained 0.1 per cent.
Convertible arbitrage managers gained 1.1 per cent and fixed income arbitrage managers were up 0.7 per cent. Both strategies capitalized on more active and liquid markets and valuations returning to more appropriate levels. Similarly, L/S credit managers posted extremely strong results (+3.9 per cent).
CTAs did not find traction in June. Short term managers lost 1.6 per cent and long term managers were down 1.8 per cent. Global macro managers also had difficulty, as a whole, during the month (-1.5 per cent). Within the strategy, managers with a significant fixed income orientation managed to perform better than some of their peers.
