Sun, May 20, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor Hedge Fund Index up 1.1% in December (+3.1% in 2012)

Friday, January 11, 2013
Opalesque Industry Update - The Lyxor Hedge Fund Index was up +3.1% in 2012 (+1.1% in December). Twelve Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Merger Arbitrage Index (+3%) and the Long/Short Credit Arbitrage Index (+2.6%). Over the year, eleven Lyxor Strategy Indices out of 14 posted positive performances, three of them being up double digits: Long/Short Credit Arbitrage Index (+12.1%), Long/Short Equity Long Bias (+11.2%) and Fixed Income Arbitrage (+10.5%).

Hedge funds benefited from comforting macro news flow and the Lyxor Hedge Fund index gained 1.1% over December, bringing year-to-date performance to 3.1%. The headline numbers hide an even more positive picture. A growing number of funds have participated in rising markets and 20% of the funds in the Lyxor investment universe are up double digits in 2012.

Supported by bullish credit markets and many opportunities in sovereign debt, L/S Credit managers clearly exceeded expectations in 2012. The Lyxor L/S Credit Arbitrage Index ranked first among Lyxor indices and staged a 12.1% return with less than 3% volatility.

L/S Equity Long Bias managers were quite successful in capturing the bulk of equities’ performance with a much lower risk profile. By contrast, the Lyxor L/S Equity Variable Bias index lost 0.5% over the year as many managers were slow to add exposure during risk-on periods. The abnormally low cross sectional equity dispersion also impaired market neutral L/S Equity strategies whether discretionary or systematic. Following negative returns in December, the Lyxor L/S Equity Market Neutral Index and Lyxor L/S Equity Statistical Arbitrage Index modestly advanced 2.9% and 2.8% respectively over 2012.

Merger Arbitrage strategies surprised to the upside in December with the Lyxor Merger Arbitrage Index staging a 2.96% return thanks to three major deals that found positive outcomes. With the December gain, the Lyxor Merger Arbitrage Index closed the year up 6%, providing steady returns with a conservative budget risk in 2012. Special Sits managers gained traction as well in December amid the buoyant share buyback activity. The Lyxor Special Situations Index was up 1.4% over the month, which pushed 2012 performance to 4.9%. Though Distressed strategies stalled as a whole in December, they offered the best yearly return among event driven strategies, as shown by the 6.5% rise in the Lyxor Distressed Securities Index.

The Convertible Arbitrage strategy remained a credit play rather than volatility-related theme. Convertible issuance, a major source of revenue for Convertible Arbitrage funds continued to decline in 2012 to reach about $20 billion after $25bn in 2011 and $35bn in 2010, weighing on performance. The Lyxor Convertible Bonds & Volatility Arbitrage Index advanced 4.5% over 2012.

A more favorable positioning translated into a 1.4% gain in the Lyxor Global Macro Index over December. Generally, Macro funds turned net long equity towards year end and kept concentrating their overall long interest rate exposure on Europe where the ongoing convergence among Eurozone nations offered attractive opportunities. Performance for the year hardly reached 4%.

CTAs stabilized in December after struggling during most of the year. The Lyxor CTA Short Term and Long Term indices dropped 4% and 6.7% respectively in 2012. The poor performance can be traced back to a number of factors: the lack of lasting trends; the high correlation levels between asset classes; the many turnarounds in foreign exchange markets; misplaced bets on precious metals.

“Managers have now implemented their constructive views about the start of 2013 and have put risk back on the table. Net long positions in Financials in L/S Equity portfolios and a majority of single-B rated papers among Credit Arbitrageurs’ holdings are testimony to this” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM. Corporate website: Source

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. News Briefs - Warren Buffett: Target date funds aren't the way to go, Cambridge Analytica could be reborn under a different name[more]

    Warren Buffett: Target date funds aren't the way to go Planning for retirement can be complicated and stressful. This is why target date funds - funds that are managed based on when you expect to retire - are so attractive. Over time, the balance of stocks, bonds and cash evolve automati

  2. Investing - Hedge funds hike Smurfit Kappa positions amid takeover deal hopes, Hedge fund IBV Capital digs deep to unlock long-term value in a competitive market, Eisman of 'The Big Short' fame recommends shorting Deutsche Bank[more]

    Hedge funds hike Smurfit Kappa positions amid takeover deal hopes From Irishtimes.com: Two US hedge funds, Davidson Kempner and York Capital, have accumulated a combined 4.74 per cent interest in cardboard box maker Smurfit Kappa using financial derivatives. It comes as many investors cl

  3. Foundations of hedge fund managers gave big to controversial donor-advised funds[more]

    In the world of philanthropy and tax-deductible charitable giving, the explosion of donor-advised funds has touched off intense debate. Now, there is evidence that the DAF boom is being further fuelled by hedge fund foundation money. Four of the top five foundations that gave the most to large do

  4. Study: For hedge funds, smaller is better[more]

    From Institutionalinvestor.com: The smaller the hedge fund is, the better its performance is likely to be, according to a new study. The study - "Size, Age, and the Performance Life Cycle of Hedge Funds," released April 26 - sought to determine whether a hedge fund's size and age had any effect on i

  5. Hedge fund returns rose in April for first gain since January[more]

    From Bloomberg.com: Bloomberg Hedge Fund Database shows returns flat this year - Currency strategies had the biggest monthly gain at 13% Hedge fund returns increased 0.78 percent in April, reversing two consecutive monthly declines. The swing of 134 basis points was driven by gains in all seven