{"id":25231,"date":"2012-10-11T00:20:38","date_gmt":"2012-10-10T22:20:38","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/momentum-continues-for-alternative-strategies\/"},"modified":"2012-10-11T00:20:38","modified_gmt":"2012-10-10T22:20:38","slug":"momentum-continues-for-alternative-strategies","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/momentum-continues-for-alternative-strategies\/","title":{"rendered":"Momentum continues for alternative strategies"},"content":{"rendered":"

Hedge fund momentum continued in September.<\/strong> The
\nsharp move in the markets occurred early in the month as the
\nECB\u2019s plan for unlimited bond purchases came into focus. For
\nthe remainder of the month, markets were relatively calm and
\nexhibited low correlations among individual securities. Volatility
\nwas low, as markets did not lurch erratically from euphoria to
\nfear. Fundamentals generally overrode emotions, meaning that
\nsome risk assets rose in value (e.g., equities and corporate
\nbonds) and some fell (e.g., agricultural commodities and crude
\noil). This environment benefited nearly all hedge funds
\nstrategies, with the exception of CTAs, which often act as the
\nde-correlated portfolio diversifier.<\/p>\n

Credit-oriented funds chalked up another positive month to
\nmake it four in a row.<\/strong> The Lyxor L\/S Credit Index gained 1.2%
\nin September, yielding a 6.4% gain for 2012 so far. The index
\nhas gone up in eight of the past nine months. The choice of
\n\u201cshorts\u201d in Long\/Short is becoming more crucial as spreads
\nare generally tighter than they have been in over a year. Even
\nthough credit spreads have not moved in a straight line this
\nyear, L\/S Credit funds have exhibited remarkable persistence
\nin navigating the environment and managing exposures.<\/p>\n

Equity-oriented hedge fund managers also found continued
\ntraction.<\/strong> The Lyxor L\/S Equity \u2013 Long Bias Index gained 1.5%
\nfor a year-to-date performance of 8.7% (the best performance
\nof any of the strategy indices). The index has now gained for
\nfour consecutive months. The L\/S Equity Variable Bias
\nmanagers displayed more mixed performance, with the Index
\ngaining a more modest 0.4%. Managers had increased
\nexposures as the summer equity rally gained steam but have taken them down a bit as the rally has faded. The Market
\nNeutral Index declined 1.4% and the Statistical Arbitrage Index
\ngained a solid 0.6% (+4.2% on the year).<\/p>\n

Event Driven managers performed solidly as both equity and
\ncredit markets provided opportunities. The Special Situations
\nIndex gained 2.2% with good performance by most managers
\nin that space. Outperformers often exhibited heavy exposure
\nto gold or gold miners. The Merger Arbitrage Index continued
\nits positive trajectory with a 0.1% gain. The Distressed Index
\nposted 0.4% gains (up 5.7% year-to-date); the Index has
\ngained every month this year but one.<\/p>\n

Global Macro funds extended their summer rebound<\/strong>, with
\ncommodity and foreign exchange market moves providing the
\ndifferentiation among funds. The few managers who were long
\neuro or short agricultural commodities easily bested their
\npeers. The Index gained 0.3%. Fixed Income Arbitrage and
\nConvertible Arbitrage gained 0.9% and 0.5%, respectively.
\nThe Fixed Income Arbitrage Index now stands at +8.2% on the
\nyear, the second highest return for a Lyxor Strategy Index.<\/p>\n

CTAs, both short term and trend followers, posted negative
\nreturns this month<\/strong>, respectively -2.3% for the Long Term CTA
\nIndex and -1.0% for the Short Term CTA Index. While trendfollowing
\nCTAs gained on generally rising equity markets
\n(which they were long), they also suffered losses on long
\npositions in agricultural commodities, energy, and the US
\ndollar. The rise and subsequent decline of U.S. Treasury yields
\nmeant that the persistent long bond positioning of CTAs did
\nnot particularly benefit or detract from performance.<\/p>\n

\u201cHedge fund managers had a hesitant if not cautious view on
\nEurope which led to low directionality and leverage in portfolios.
\nThat has started to be adjusted upwards during September\u201d<\/em> says
\nStefan Keller, Head of Managed Account Platform Research &
\nExternal Relations at Lyxor AM.<\/p>\n","protected":false},"excerpt":{"rendered":"

The Lyxor Hedge Fund Index gained 0.2% in September
\n(+2.2% in 2012). 11 Lyxor Strategy Indices out of 14 ended
\nthe month in positive territory, led by the Lyxor Event Driven –
\nSpecial Situations Index (+2.2%) and the Lyxor L\/S Equity \u2013
\nLong Bias Index (+1.5%).<\/p>\n","protected":false},"author":20,"featured_media":25229,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[1470],"tags":[1687,1743,1655,1658,1723,1690,1651,1662,1672],"_links":{"self":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/25231"}],"collection":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/users\/20"}],"replies":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/comments?post=25231"}],"version-history":[{"count":0,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/25231\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media\/25229"}],"wp:attachment":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media?parent=25231"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/categories?post=25231"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/tags?post=25231"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}