Mon, 14/12/2009 - 06:09
The Lyxor Global Hedge Fund index rose by 1.1 per cent in November, taking its year-to-date performance to 5.5 per cent.
Markets faltered at the beginning of November on poor housing data, rallied on better than expected news mid-month, and then lost momentum as month-end neared.
Lyxor says such back-and-forth news flow seems consistent with a bumpy recovery.
Trading volume was especially light, obscuring the messages from investors. Alternative managers had a number of interesting ingredients to mix into attractive portfolios this month.
Many long/short equity managers posted decent performance numbers on the back of the mixed data. Variable bias managers were at 0.7 per cent on the month, reflecting their generally neutral positioning.
Market neutral and statistical arbitrage funds, however, posted disappointing numbers at respectively
-0.5 per cent and -0.6 per cent.
The clear winners in this space from a performance perspective were long bias managers, whose long beta strategy worked out for them this month, gaining 1.7 per cent.
Within the event driven space, merger arbitrage managers posted another low volatility, modest return month of 0.2 per cent. On the plus side, some new strategic deals have been announced, but the total volume of outstanding deals is quite low.
Special situations managers had a noticeably good month, returning 2.6 per cent. As in recent months, some of these managers have managed their net exposures to capture the equity rally while mitigating exposure during down weeks. They generally benefited from significant equity market exposure. Distressed managers also had a positive month, up 0.4 per cent.
Within the convertible/volatility arbitrage (-0.3 per cent), fixed income arbitrage (+0.1 per cent), and L/S credit (+2.1 per cent) strategies, managers had mixed performances. Idiosyncratic events had a noticeable impact on portfolio positions, given that convertible valuations have generally recovered from 2008's collapse and credit spreads have already tightened significantly from recent highs. Activity in these markets has also been reduced, given the season.
Global macro managers with significant long equity and short US dollar exposure generally fared well in November during market rallies, but they suffered during the declines. This volatility was offset by gold exposure in some cases. The net result was an index gain of 1.6 per cent.
CTAs similarly generated a wide range of outcomes this month. Short-term CTAs posted losses of 0.6 per cent, as they were whipsawed by equity market reversals. Long-term CTAs posted stronger performance of 3.5 per cent on the general trend in equities, commodities and currencies.
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