Wed, 17/02/2010 - 12:05
The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform, was down 0.4 per cent in January.
The month was split in two halves. During the first three weeks of the month, risky assets rallied, breaking through important resistance levels.
Thereafter, regulatory uncertainties concerning the US financial system, fears of excessive monetary tightening in China and mixed macro newsflow all combined to trigger a quite brutal correction, leaving major equity indices in year-to date negative territory.
These reversals were detrimental for trend following systems. Long term CTAs recorded this month’s worst performance, down by 3.1 per cent, while shorter term ones did not fare much better, down by 1.9 per cent.
Models suffered from their long equity exposures. Long bond exposures somewhat mitigated losses as risk aversion pushed interest rates down, but short USD bets were damaging.
Global Macro managers were also negative this month, down 1.3 per cent. Here too, wrong-footed equity exposures were the main performance driver, but relatively higher allocations on long bond positions and short EUR/USD plays mitigated losses compared with pure trend following systems.
Fixed income managers were flat on January, as well as convertible arbitrage managers. After the 2009 normalisation, convertible bonds are quite close to fair value, and therefore most prone to profit taking. In terms of liquidity, rumours of redemptions in the hedge fund industry as gates are progressively being lifted, weighed on valuations.
L/S credit funds, up by 2.1 per cent, benefited from the ongoing spread tightening until mid month. They gave back some of their gains thereafter, on the back of rising sovereign risk in Europe (markets questioned the sustainability of Greek public finances) and events in Venezuela (where the devaluation triggered some risk aversion moves).
In the event driven pocket special situations were all the more hurt by the market correction than they retain a long financials exposure. However, their strong performance at the start of the month still enabled them to post a 0.2 per cent overall return.
Merger arbitrage funds gained 0.5 per cent. The strategy remains a clear winner in terms of risk adjusted returns. They were quite resilient and navigated through higher equity volatility thanks to their hedging overlay.
As for L/S equity funds, long only managers were down 0.7 per cent, while variable bias managers returned 0.1 per cent. Managers remain very conservative, and, at close to 25 per cent, net long exposures remain very low by historical standards.
Strategies with a structural low beta to the market fared well. Statistical arbitrage managers were up by 1.1 per cent and market neutral funds gained 1.5 per cent.
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Thu, 25 Dec 2014 00:00:00 GMTQuantitative Analyst - CVA, IR, and Credit Model Validation - US Investment Bank
Thu, 25 Dec 2014 00:00:00 GMTGroup Operational Risk Management, Vice President | Investment Banking
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