Fri, Sep 19, 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 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. 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. 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

  4. 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

  5. Short Selling - Notorious U.S. short-seller targets Alibaba[more]

    From Wantchinatimes.com: A notorious American short-seller appears to have "targeted" Chinese internet giant Alibaba on the eve of its historic public listing on the New York Stock Exchange, reports Chinese web portal Hexun. Alibaba's highly-anticipated listing on Friday could potentially be the big