Mon, Apr 27, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index records a positive performance of 1.30% in January 2012

Wednesday, February 15, 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 up 1.3% in January.

Most risk assets persistently gained value during January 2012, with a short breather at the end of the month. The macroeconomic data in the United States generally printed positively, and the same positive tone even showed up in Europe (at least relative to expectations). Markets let go of some of the fears they had harboured regarding a disorderly shakeup in the euro region, and the euro strengthened sharply (above $1.32) during the last half of the month. The Federal Reserve did their part for risk assets by revealing that they expected policy rates to remain exceptionally low for longer than previously admitted. Hedge funds benefited sharply from the improved trading environment, and many raised exposure to take advantage while it lasts.

The Lyxor Long-Term CTA Index gained 0.4% on the month. CTAs were generally long the US dollar and equities, which worked out nicely for the first part of the month, but the long bond positions were costly in mid-month when yields rose as the Greek debt talks dragged on. Funds rebounded toward month-end as yields eased. The Lyxor Short-Term CTA Index declined 0.9%.

The Lyxor L/S Credit Index had a strong month, gaining 2.1%. Credit spreads declined noticeably, providing a strong tailwind for managers. The Lyxor Convertible & Volatility Arbitrage Index posted a 2.2% increase, with the funds focused on the high yield space gaining the most.

Event Driven managers were given a dramatic boost by both the enhanced appetite for risk assets and by positive idiosyncratic events. The Special Situations Index gained 3.6% due to gains on specific events (e.g., activist positions) and on the 11% rise in the price of gold over the month. The Merger Arbitrage Index gained 1.1% as several key deals closed. The Lyxor Distressed index gained 1.4% as post-reorganization equity did well.

The Lyxor Fixed Income Arbitrage Index posted a solid 2.6% gain on the month. The Lyxor Global Macro Index gained 1.3% as long positions in gold, equities, and the Japanese yen did well. Some funds in both categories gained significantly on long positions in the emerging market currencies that rallied hard (e.g., Mexican peso and Korean won).

Equity-oriented hedge fund managers increased net exposures in January as the correlations among stocks eased and markets rallied. The Lyxor L/S Equity Long Bias Index posted a +3.0% gain, and the Lyxor L/S Equity Variable Bias Index rose +1.2% (the biggest gain since April 2011). The Market Neutral Index declined 0.4% and the Statistical Arbitrage Index gained 0.2%.

Jan-12
Lyxor Hedge Fund Index ... 1.30%
Lyxor L/S Equity Long Bias Index ... 3.00%
Lyxor L/S Equity Market Neutral Index ... -0.37%
Lyxor L/S Equity Short Bias Index ... -4.17%
Lyxor L/S Equity Statistical Arbitrage Index ... 0.21%
Lyxor Convertible Bonds & Volatility Arbitrage Index ... 2.17%
Lyxor L/S Equity Variable Bias Index ... 1.16%
Lyxor Distressed Securities Index ... 1.42%
Lyxor Merger Arbitrage Index ... 1.14%
Lyxor Special Situations Index ... 3.60%
Lyxor L/S Credit Arbitrage Index ... 2.14%
Lyxor Fixed Income Arbitrage Index ... 2.56%
Lyxor CTAs Long Term Index ... 0.35%
Lyxor CTAs Short Term Index ... -0.88%
Lyxor Global Macro Index ... 1.28%
Lyxor Credit Strategies Index ... 2.31%

www.lyxorhedgeindices.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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  4. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

  5. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

 

banner