Sun, Sep 21, 2014
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. 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