The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform, has risen 3.24 per cent since the beginning of 2009.
The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform, has risen 3.24 per cent since the beginning of 2009.
Equity markets continued to rally in July 2009 after taking a breather in June. Lyxor says the normalization of market conditions trumps persistent trends.
Event-driven funds registered a mixed performance in July. Merger arbitrage was flat, special situations added 2.21 per cent and distressed was down 1.49 per cent.
Within equity market strategies, only the long biased managers were able to monetize the current environment (+2.56 per cent). Variable managers were flat (+0.84 per cent) while statistical arbitrage (-2.28 per cent), market neutral funds (-1.36 per cent) and short biased strategies (-5.59 per cent) were hit.
The low level of dispersion and declining volatility in the market were detrimental for arbitrageurs. The sharp trend reversal in market behaviour during the month worked against market neutral managers.
Convertible arbitrage managers were up 3.46 per cent while credit arbitrage funds posted extremely strong results (6.11 per cent). Both strategies took benefit from the important tightening in credit spreads, especially in high yield. Similarly fixed income arbitrage performed well (+1.18 per cent).
Within the CTA segment, the divergence between long term trend followers (-1.74 per cent) and short term high frequency systems (+2.90 per cent) was again evidenced. In particular, persisting short positions in the equity sector and long exposure to bonds generated substantial losses. Global macro funds were up 1.43 per cent in July.
