Mon, Dec 18, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Lyxor reports hedge funds have started 2013 on a high note

Monday, February 11, 2013

Stefan Keller
Opalesque Industry Update - The Lyxor Hedge Fund Index was up +1.6% in January and 12 Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Lyxor L/S Equity Market Neutral Index (+5.1%), the Lyxor L/S Equity Long Bias Index (+3.7%) and the Lyxor Special Situations Index (+2.6%).

Hedge funds have started 2013 on a high note, supported by the rally in risky assets, amid improving economic data, reflation plans in Japan and the absence of disappointing news on the political front.

Most of the best January performers of the Lyxor platform are to be found in the L/S Equity space. Long biased managers maintained net exposures levels at about 60% on average while variable bias funds’ managers kept increasing gross and net exposures to the highest levels seen over the last five years. Moreover, funds reinforced the beta trade by concentrating their sector bets on financials and industrials. Obviously, equity long and variable strategies benefited from this bullish positioning and the L/S Equity Long and Variable Bias indices returned 3.7% and 2.5% respectively. More importantly, the start of the quarterly earnings season offered additional opportunities for alpha generators. Market neutral strategies managed to capture those opportunities. Cross sectional dispersion recovered somewhat and volatility continued to ease. Both trends compounded and the ratio dispersion to volatility, the main performance driver of the segment, moved up.

As a whole, market neutral funds stand out as the best performing strategy in January within the Lyxor universe with the Lyxor L/S Equity Market Neutral index staging an eye-catching 5.1% gain. Market neutral systematic strategies benefited as well from the improving trading environment but to a lesser extent and the Lyxor L/S Equity Statistical Arbitrage index advanced 1.9%.

Event Driven hedge funds posted mixed performances. Merger Arbitrage strategies lagged their Special Situations and Distressed peers as a major deal broke mid-January: European regulators moved to block a transatlantic deal in the packagedelivery sector. Merger Arbitrage players as a whole recouped their losses and the Lyxor Merger Arbitrage index ended the month up 0.2%. Positions in consumer cyclical, financial and communication sectors allowed Distressed strategies to gain 1.3% in January. Special Situations managers returns were led by both favorable market directionality and idiosyncratic investments. The Lyxor Special Situations index sported a 2.6% advance year-to-date.

Managers in the fixed-income space were confronted to a more challenging environment where high grade sovereign bonds, so called safe havens, suffered from investors’ disinterest. Arbitrageurs disappointed and the Lyxor Fixed Income Arbitrage index declined 0.6%. Credit related strategies were better off, buoyed by the compression in credit spreads and the Lyxor L/S Credit Arbitrage index added 1.4% in January. The very low volatility backdrop remained detrimental to Convertible strategies but the rally in equities and a revival in issuance drove performance. The Lyxor Convertible Bonds Arbitrage Index yielded 1.2% over the month.

Global Macro strategies recorded gains on both their net long equity exposures and their overall net short exposures to bonds but positions in foreign exchange and precious metals detracted from performance. The Lyxor Global Macro Index appreciated 1.2% year-to-date. Long term CTAs, broadly long equities and long interest rates nicely caught the onset of the “Great Rotation” out of bonds and into equities. The Lyxor CTA Long Term index advanced 1.4% in January. By contrast, high frequency funds stalled as a whole.

“The normalizing trading environment has been particularly beneficiary to market neutral managers recently. Alpha generation has been significant in January ” says Stefan Keller, Head of Managed Account Platform Research & External Relations at Lyxor AM.

Press release

bc

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. Mediobanca acquires majority stakes in Swiss hedge fund[more]

    Komfie Manalo, Opalesque Asia: Listed diversified banking group Mediobanca SpA said it has acquired a majority stake in Geneva-based hedge fund firm RAM Active Investments SA (RAM AI), an active and alternative asset manager offering a range of act

  2. North America - Miami could attract hedge funds if SALT deductions axed[more]

    From Law360.com: For years, inertia has been Nitin Motwani's greatest foe in his attempts to lure hedge fund owners in the northeast to Miami, which he has pitched as a tropical low-tax paradise. But with the Republican tax bill proposing to eliminate deductions for state and local taxes, he's sensi

  3. Northleaf Capital Partners closes debut private credit fund on $670M[more]

    Bailey McCann, Opalesque New York: Northleaf Capital Partners has closed its debut private credit fund - Northleaf Private Credit I - on $670 million. The vehicle will invest in private credit transactions in Europe and North America, with a primary focus on lending to private equity-backed compa

  4. ...And Finally - The ongoing gun saga in the U.S.[more]

    From Newsoftheweird.com: As elder members of the First United Methodist Church in Tellico Plains, Tennessee, gathered on Nov. 16 to discuss the recent church shooting in Sutherland Springs, Texas, one of those present asked if anyone had brought a gun to church. One man spoke up and said he c

  5. Opalesque Exclusive: Credit Suisse Asset Management's NEXT Investors leads $6M Series A round for LUX Technology and Services[more]

    Bailey McCann, Opalesque New York: Credit Suisse Asset Management's NEXT Investors has led a $6 million Series A funding round for LUX Technology and Services, a business and technology solutions provider for the alternative assets industry. The investment will be used to fuel growth of Trans