Sun, Oct 23, 2016
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


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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p