Tue, Jul 7, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index up 0.41% (1.98% YTD) as alternative strategies generate alpha in volatile November

Friday, December 07, 2012
Opalesque Industry Update - Thirteen Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Fixed Income Arbitrage (+1.2%), the Lyxor Long/Short Credit Arbitrage Index (+1%) and the L/S Equity - Market Neutral Index (+0.9%). The Lyxor Hedge Fund Index posted a positive performance at 0.4% in November 2012 (+2% in 2012 to date).

The rising uncertainty related to the U.S. fiscal cliff issue focused investors’ attention in November. Risky assets started the month on the wrong foot amid mounting fears over policy issues but rumors of progress on the fiscal cliff negotiations, rising expectations of a solution for Greece (that materialized on 27 November) and to a lesser extent the smooth leadership transition in China helped equity markets recover the lost ground. Hedge fund managers navigated well in this context.

Managers in the fixed-income space continued to perform well, amid further gains in sovereign and credit bonds. The Lyxor Fixed Income Arbitrage and L/S Credit Arbitrage indices were up respectively 1.2% and 1% in November. Managers succeeded in adding value, as dispersion increased, creating trading opportunities (US MBS, European sovereign debt…). Also, the overall volatility backdrop remained supportive. Yearto- date, these two strategies clearly outperform their peers, the Fixed Income Index yielding 10.1%, and the Credit Arbitrage Index 9.2%. The Lyxor Convertible bond Arbitrage Index also performed nicely (+0.3 %) mainly driven by specific stories, and is up 3.9 % year-to-date.

Within the event driven strategies, funds focused on merger arbitrage (Lyxor Merger Arbitrage Index) returned 0.7% over the month. Positive drivers included the improvement in business confidence and a sizeable increase in merger activity - the number of deals was up roughly 40% in the U.S. over the past three months. The Lyxor Distressed Securities index and the Lyxor Special Situations Index were almost flat this month (+ 0.1%).

L/S equity strategies also performed well this month. Variable bias managers who opportunistically increased net equity exposure and were able to generate alpha on stock selection started to catch up on underperformance. The L/S Equity Variable bias Index gained 0.9% but is still down -0.6% year-todate. Other strategies posted positive performances too: Long bias (+0.5%), Statistical Arbitrage (+0.7%), Market Neutral (+0.9%).

The economic news flow confirmed the encouraging data seen during October, with growing signs that the global industrial cycle has bottomed, and that activity is strengthening in the U.S. and in Asia. Despite these receding economic risks and the ample liquidity provided by Central Banks, CTA and Global Macro managers as a whole recorded disappointing performances. The lack of persistent trends and elevated political uncertainties continued to undermine performance. The Lyxor CTA Short Term lost -1.8% and CTA Long Term Indices was almost flat (+0.1%) during the period under review. The Lyxor Global Macro Index appreciated (+0.5%) thanks to rewarding bets on commodities and currencies at the end of the month.

“We note a broadening of strategies participating in rising markets. The top decile of funds on the Lyxor MAP are all up in double digit territory, and they belong to six different strategies. This is a remarkable change compared to last year, when computer-driven systems dominated the rankings.” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM.

From: LYXOR FLASH, The Alternative Investment Industry Barometer, 7th Dec. 2012

Lyxor Asset Management 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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner