The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform, was up 0.9 per cent in August, bringing year-to-date performance to 4.2 per cent.
The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform, was up 0.9 per cent in August, bringing year-to-date performance to 4.2 per cent.
August was another positive month for alternative strategies as risk appetite further increased. Equity momentum remained strong, credit spreads tightened and the US dollar weakened.
Long short equity funds benefited from this environment. Long bias managers were up by 0.9 per cent and variable bias funds also gained 0.9 per cent. Lyxor says most managers currently focus on relative stock picking without taking too much of a directional risk.
Event driven remains on a winning streak, with special situations posting 2.3 per cent. Alpha generation was significant, as most of the returns were linked to bottom up, catalyst related situations. Credit exposures, on which managers are progressively taking their profits, brought additional returns.
Merger arbitrage was up 1.1 per cent this month. Here also, specific positions made the difference, and market beta was not the main performance driver, says Lyxor. Distressed managers were down by 0.7 per cent, as losses on short positions outweighed the gains made on the long side.
Credit managers again were ahead of the pack, up by 4.4 per cent this month. Liquidity normalisation has been a strong driver, but exposure to emerging markets also boosted returns.
Convertible bonds arbitrage strategies posted a 1.8 per cent performance. Returns were mostly driven by high yield specific situations, as investment grade names were close to flat over the period.
Long term CTA models are very gradually making a come-back, up by 0.8 per cent this month (down 7.7 per cent year-to-date). Short term and high frequency models were down 0.5 per cent this month.
Global macro funds had a profitable month (up 1.7 per cent), thanks to their well positioned long equity and long commodity exposures.
