Sun, May 28, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Global Hedge Fund investable index down 0.36% in December, -6.59% YTD

Wednesday, January 11, 2012
Opalesque Industry Update -The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was down 0.36% in December. Year to date performance is down 6.59%.

Many traders took a holiday in December, but market worries over the European debt situation did not take time off. Risk assets fell during the first part of the month but generally recovered during the final portion of the month. The euro similarly fell during the first part of the month, but there was no recovery afterwards. Curiously, the US dollar proved to be a much more effective safe haven than gold, which fell more than 10% on the month. CTAs and arbitrage-oriented managers (Merger Arbitrage, Convertible Arbitrage, and Statistical Arbitrage) were among those able to take advantage of these conditions to end 2011 on a high note.

Managed futures traders were generally able to post positive returns on the month, especially as US Treasury bonds gained during the final week of the year. CTAs favoured long bond, long US dollar, long commodity, and short equity positioning and gained 1.3%, according to the Lyxor Long-Term CTA Index. The Lyxor Short-Term CTA Index declined 1.3% to the end the year with a 3.1% gain.

Merger Arbitrage managers posted modest gains, with the Lyxor Merger Arbitrage Index gaining 0.2% in December. Arbitrage spreads in the U.S. tightened somewhat, but several deals outside the U.S. contributed noticeably to the results. The Lyxor Special Situations Index declined 2.1% on the month to cap a difficult year. Financial stocks rallied somewhat, but these holdings were not sufficient to offset losses in positions in gold, mining stocks, or energy stocks. The Distressed Index gained 0.6%, with post-reorganization equities gaining sharply during the month-end risk rally.

Credit markets experienced limited liquidity and notable volatility, yet spreads generally tightened over the month. Many managers deployed very conservative positioning, with modest net exposure. The Lyxor L/S Credit Index gained 0.5%. The Lyxor Convertible and Volatility Arbitrage Index gained a solid 1.2%, partly on the basis of these improved credit markets.

The Lyxor Global Macro Index was flat on the month. Many commodity oriented funds lost as those markets declined, and managers with precious metal positioning suffered. Long dollar positions gained versus the euro and a number of other currencies. Fixed income specialists were able to monetize some of the volatility and post positive returns. The Lyxor Fixed Income Arbitrage Index gained 0.1% on the month.

Equity market managers ended the year with modest net and gross positions, which were generally much lower than the risk taken at the beginning of 2011. The Lyxor L/S Equity Long Bias Index declined 0.3%; although some managers gained significantly over the month, some suffered more sharply from the decline in Chinese equities. Variable Bias managers generally displayed muted returns, but the Lyxor L/S Equity Variable Bias Index declined 3.0% because of exposure to managers with significant precious metal exposures.

The correlations among stock returns remained at extreme levels, yet there was enough volatility in the market for some of the quantitatively-oriented managers to add value. The Lyxor L/S Equity Statistical Arbitrage Index gained +0.5%. The Lyxor L/S Equity Market Neutral Index declined 0.5%.

 

Dec-11

YTD

Lyxor Hedge Fund Index

-0.36%

-6.59%

Lyxor L/S Equity Long Bias Index

-0.29%

-6.27%

Lyxor L/S Equity Market Neutral Index

-0.53%

-1.45%

Lyxor L/S Equity Short Bias Index

-2.37%

-16.86%

Lyxor L/S Equity Statistical Arbitrage Index

0.47%

-4.66%

Lyxor Convertible Bonds & Volatility Arbitrage Index

1.22%

-1.71%

Lyxor L/S Equity Variable Bias Index

-2.96%

-6.77%

Lyxor Distressed Securities Index

0.57%

0.78%

Lyxor Merger Arbitrage Index

0.20%

-3.69%

Lyxor Special Situations Index

-2.14%

-17.14%

Lyxor L/S Credit Arbitrage Index

0.53%

-4.74%

Lyxor Fixed Income Arbitrage Index

0.05%

-1.32%

Lyxor CTAs Long Term Index

1.29%

-3.83%

Lyxor CTAs Short Term Index

-1.27%

3.06%

Lyxor Global Macro Index

-0.04%

-8.38%

Lyxor Credit Strategies Index

0.30%

-4.55%

(*) MTD returns are based on performance from the last estimated NAV of the previous month until the last estimated NAV of the reported month. YTD returns are from December 31st, 2010 through December 31st 2011.

www.lyxor.com

BG

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. Investing - Tudor Jones backs AI hedge funds, Massive hedge fund trades highlight insider buying: GE, Pentair, Tempur Sealy, Apollo Global and more, Hedge funds big wigs are buying consumer and selling tech, here's the stocks[more]

    Tudor Jones backs AI hedge funds From FT.com: Hedge fund magnate Paul Tudor Jones has invested in a brace of artificial-intelligence powered "quantitative" hedge funds, underscoring the increasing acceptance that the industry will need to turn more to technology and away from traditional

  2. Soon hedge fund investors won't bet on a man, they will bet on a machine[more]

    From Forexlive.com: The Wall Street Journal is in the midst of a 17-part series that looks at the rise of quant funds. The AUM and money invested in quant funds still trails traditional asset managers but the gap is closing. What's truly amazing is volume. Quant funds make up 27% of trading vo

  3. Investing - China's HNA wants to invest in Value Partners, Risk parity investors reap rewards from rebalancing act, SoftBank's $100 billion tech fund rankles VCs as valuations soar[more]

    China's HNA wants to invest in Value Partners From Reuters.com: HNA Group has alighted on a logical, if pricey, target in Hong Kong. The deal-hungry Chinese travel conglomerate known for overpaying wants to invest in Value Partners, one of Asia's few sizeable independent asset managers,

  4. Opalesque Exclusive: Investors warm to ESG, but seek standardization[more]

    Bailey McCann, Opalesque New York: Asset managers and asset owners plan to double their investment in Environmental, Social and Governance (ESG) driven strategies over the next two years, according to a survey from BNP Paribas Securities Services. The report, "Great Expectations: ESG - what's nex

  5. Opalesque Roundtable: France's hidden strengths in AI and machine learning[more]

    Komfie Manalo, Opalesque Asia: All nations offer their strengths and weaknesses, but one that is undisputed is the quality of the French scientists, claimed Guillaume Vidal, co-founder of French technology startup Walnut Algorithms at the