Thu, Aug 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 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. Institutions – Texas Employees sets 2015 tactical plan for alternatives, CalPERS' real estate consultant cautions the pension fund's investment committee, Why Sunsuper likes hedge funds[more]

    Texas Employees sets 2015 tactical plan for alternatives From PIOnline.com: Texas Employees Retirement System will invest in up to four new hedge funds in the next fiscal year, which begins Sept. 1. Trustees approved 2015 tactical investment plans for the hedge fund, private equity and in

  2. Private equity follows hedge funds into reinsurance for long-term capital[more]

    From Artemis.bm: It’s not just hedge funds that are entering the insurance and reinsurance market in search of so-called long-term capital to put to work in their strategies, private equity firms targeting the space are also seeking opportunities to add assets under management. The entry of large pr

  3. North America – New York City’s next hot neighborhoods targeted with property funds[more]

    From Bloomberg.com: New York’s real estate world is filled with tales of ordinary people who bought property decades ago and saw values skyrocket to the millions. Seth Weissman is seeking investors to get in early on the next hot neighborhoods. The veteran of Goldman Sachs Group Inc. and hedge

  4. Investing – George Soros bets $2bn on stock market collapse, Warren Buffett's Berkshire reveals Charter stake, cuts DirecTV, Hedge funds lusting to cash out of MGM, Top hedge fund managers are buying Ally Financial, Hedge funds dumped 5m Herbalife shares in Q2, Paulson & Co hedge fund ups Puerto Rico real estate bet, Netflix Inc., Citigroup Inc, Google Inc are top new picks in Tiger Management’s 13F[more]

    George Soros bets $2bn on stock market collapse From Newsmax.com: Billionaire investor George Soros has increased his financial bet that U.S. stocks will collapse to more than $2 billion. The legendary hedge fund manager has been raising his negative bet on the Standard & Poor's 500 Inde

  5. Investors now net short S&P500 and increased Russell shorts, technicals suggest further selling[more]

    Komfie Manalo, Opalesque Asia: Market Neutral funds increased their market exposure to -1% net short from -6% net short last week, according to Bank of America Merrill Lynch’s Hedge Fund Monitor. The report also added