L/S equity shows resilience in volatile market
22 December 2014 Paris
Image: Shutterstock
The Lyxor Hedge Fund Index continued to slide in the week beginning 15 December as global risk aversion was elevated.
All hedge fund strategies were down in the same week, with fixed income managers underperforming on the back of liquidity issues on some names.
Lyxor’s Fixed Income Broad Index, which aggregates long and short credit, fixed income arbitrage and convertibles arbitrage is down 6.1 percent in Q4, at least up to 16 December.
Global macro and special situations managers also underperformed, with the latter being particularly impacted by exposures to energy and financials in both the equity and credit space.
Systematic long and short equity managers have done particularly well. Multi strategy funds also continue to bring what Lyxor termed as “satisfactory and decorrelated returns”.
Out of the 25 managers tracked in the long and short equity and multi-strategy space, almost half of them are positive month-to-date.
The median performance is -0.3 percent at a time when the S&P 500 was down 4.6 percent and the Eurostoxx 50 down 6.2 percent.
Head of research for Lxyor, Philippe Ferreira, commented: “The bottom has now been reached in this latest hedge fund drawdown. At the [Federal Open Market Committee] meeting on 16 and 17 December the [Federal Reserve] signalled it will be patient with rates hikes.”
“Despite this expected rebound, 2014 remains a disappointing year for hedge funds. [H1] was satisfactory for fixed income and event driven managers but the second half was strongly negative.”
All hedge fund strategies were down in the same week, with fixed income managers underperforming on the back of liquidity issues on some names.
Lyxor’s Fixed Income Broad Index, which aggregates long and short credit, fixed income arbitrage and convertibles arbitrage is down 6.1 percent in Q4, at least up to 16 December.
Global macro and special situations managers also underperformed, with the latter being particularly impacted by exposures to energy and financials in both the equity and credit space.
Systematic long and short equity managers have done particularly well. Multi strategy funds also continue to bring what Lyxor termed as “satisfactory and decorrelated returns”.
Out of the 25 managers tracked in the long and short equity and multi-strategy space, almost half of them are positive month-to-date.
The median performance is -0.3 percent at a time when the S&P 500 was down 4.6 percent and the Eurostoxx 50 down 6.2 percent.
Head of research for Lxyor, Philippe Ferreira, commented: “The bottom has now been reached in this latest hedge fund drawdown. At the [Federal Open Market Committee] meeting on 16 and 17 December the [Federal Reserve] signalled it will be patient with rates hikes.”
“Despite this expected rebound, 2014 remains a disappointing year for hedge funds. [H1] was satisfactory for fixed income and event driven managers but the second half was strongly negative.”
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