Lyxor Hedge Fund Index Flat

May 21 2009 | 12:32pm ET

The Lyxor Global Hedge Fund Index dropped 0.45% in April, leaving it flat year-to-date.

Long/short equity managers with a long bias led the way last month, posting gains of 7.5%, followed by long/short credit (4.8%) and convertible arbitrage (1.6%). Both credit and convertible arb. managers benefited from general spread tightening, and new issuance in both markets points toward better liquidity. Convertible valuations improved toward less depressed levels, as evidenced by convertible implied volatility holding steady even as listed option volatility declined on the rally.

However, distressed managers lost 3.3% and medium- and longer-term trend followers, and commodity trading advisors, declined 1.8%, while their high-frequency peers posted losses of 0.7%.

Within the event driven space, merger arbitrage and special situations managers both posted losses of 1.7% and 0.2% respectively. Market neutral funds were down 0.6% and statistical arbitrage did not fare any better losing 0.4%.


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