Sun, Sep 21, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund Index up 2.3% in December (+5.8% in 2010)

Monday, January 17, 2011
Opalesque Industry Update - The Lyxor Global Hedge Fund Index, an investable index based on Lyxor’s hedge funds platform which tracks the overall hedge fund universe, was up 5.8% in 2010. The index gained 2.3% in December.

Alternative investments had persistent themes from which to benefit in December 2010. Equity markets finished 2010 on a strong note, with the S&P 500 posting a total return of 6.7% in December. Commodity markets generally followed the same trend. The CRB Commodity Index gained just over 10% on the month, with both the energy and non-energy components exhibiting significant performances. Metals, both precious and industrial, saw similar gains.

The strong December trend in risk assets provided clear benefits for CTAs. Long equities and commodities position, short bond positions made the Lyxor Long-Term CTA Index gained 2.5% over the month, leading to a 10.2% gain over the calendar year. Short-Term CTAs finally found traction in December, with the Lyxor Index up 0.8% (although it fell 0.1% over the whole of 2010).

Global Macro managers were able to harvest gains from opportunity-rich markets; the Lyxor Global Macro Index surged 4.7%. Commodity-oriented managers benefited from continued supply constraints and Emerging Market demand. Macro managers who are bullish were buoyed by risk asset gains, including double digit gains in silver, palladium, and copper. Spread tightening helped managers in the Lyxor L/S Credit Index gain 1.0% for a 10.3% gain on the year. Some of the same fundamental drivers benefited convertible traders, with the Lyxor Convertible Arbitrage Index up 0.7% for December and 4.9% on the year. Fixed Income Arbitrage provided little excitement, as the index declined -0.4%. Despite this year-end lull, the net result for the Lyxor Fixed Income Arbitrage Index was 9.5% for 2010.

Event Driven managers performed well. The Lyxor Distressed Index gained 0.6%, capping a +5.3% year. The Lyxor Merger Arbitrage Index rebounded from its November decline and posted a +1.3% performance. The proportion of deals with negative spreads eased as we moved into year-end, signalling slightly less aggressiveness in pricing for the new year. Performance for the year was a solid 5.8%. Special Situations managers strongly benefited from equity and credit market performance, gaining 4.3% for the month (10.3% on the year). L/S Equity managers tended to increase their net and gross exposures during the fourth quarter of the year, and this generally paid off in December. Both the Lyxor L/S Equity Variable Bias Index and Long Bias Index gained 2.7%. Long Bias managers were much more exposed throughout the year to the double digit gains in broad equity markets (and were early in moving to higher net exposures), leading to +6.2% gains for the year versus +2.3% for the Variable Bias Index.

Market-neutral managers benefited from greatly diminished correlations among stocks, meaning that good stock selection was finally rewarded after months of the “Risk On/Risk Off” trade dominating. The L/S Equity Market Neutral Index gained 0.9% to eke out 1.4% on the year. Statistical Arbitrage managers continued to struggle, however. The Lyxor L/S Statistical Arbitrage Index was up a modest 0.2%, bringing the year-to-date number to -1.2%.

Corporate website: www.lyxor.com

- FG

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. Institutions - North Carolina workers call on state pension to dump up to $6bn in hedge funds, UK pension fund criticizes hedge fund fees[more]

    North Carolina workers call on state pension to dump up to $6bn in hedge funds From Forbes.com: The State Employees Association of North Carolina this afternoon called on state Treasurer Janet Cowell to withdraw all investments in hedge funds, which appear to amount to approximately $6 b

  4. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  5. Institutions - Adviser's faith in hedge funds unshaken by CalPERS' move Advisers weigh in on CalPERS’ decision, Gina Raimondo sees no reason to follow California’s lead, exit hedge funds, Danish pension funds step up 'alternative investments'[more]

    Adviser's faith in hedge funds unshaken by CalPERS' move From WSJ.com: Financial advisers who use hedge funds in their clients' portfolios say they aren't rethinking that approach after a huge California pension fund announced plans to exit the hedge-fund market. The decision by the Cali