07 MARCH 2013
LYXOR FLASH
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
ALTERNATIVES PROVED RESILIENT DESPITE MIXED
SIGNALS FROM WASHINGTON AND ROME
>> The Lyxor Hedge Fund Index was up +0.15% in
February, bringing year-to-date performance to
+1.73%. 8 Lyxor Strategy Indices out of 14 ended the
month in positive territory, led by the Lyxor Fixed Income
Arbitrage Index (+2.06%), the Lyxor L/S Equity Market
Neutral (+1.65%) and the Lyxor L/S Equity Variable Bias
Index (+1.59%)
>> G3 dominance on world financial markets
continued in February, this time raising investors’ risk
aversion. Worries about the impact of fiscal restraint on
the U.S. economy and the disappointing results of the
Italian elections that leave the country in a political
deadlock combined to put a halt on the rally risky assets
enjoyed in January. However performance was quite
mixed. Eurozone equities suffered the most as recently
published data kept suggesting weak fundamentals. U.S.
equities proved resilient, backed by a solid macro news
flow and Ben Bernanke’s testimony which smoothed fears
of a premature shift in the Fed’s QE regime. Japanese
stocks buoyed by upward revisions in earnings and hopes
that the BoJ will turn to a more reflationary stance,
seemed immune and advanced further.
>> While safe-haven sovereigns benefited from this
bout of risk aversion, overall equity markets lost some
ground and the MSCI World index declined 0.2 % in USD
terms.
>> Managers remained constructive as evidenced by
the market beta exposure they chose to hold: the
median equity beta on the Lyxor platform changed little
recently at about 30%, a level comparable to those
observed in the spring 2011, before the euro crisis.
>> Noticeably, again this month L/S equity market
neutral funds stand out as one of the best performing
strategies, which brings year-to-date performance to
6.81%. Managers, that had increased leverage, took
advantage of the
opportunities offered by the earnings season. The
increased dispersion did offset the negative impact related
to the spike in volatility and benefited to alpha generators.
>> Two Event Driven sub-strategies out of three were
down in February with the Lyxor Special Situations and
Distressed Securities indices losing 1.06% and 0.37%
respectively over the month. Merger Arbitrage funds proved
rather resilient with an overall gain of 0.73% on the related
Lyxor Index. The recent resurgence in merger activity was
mainly driven by industry-specific events which traded very
tightly and had a limited impact on the P&L of dedicated
arbitragers.
>> L/S Credit Arbitrage funds returned flat performance
while their Convertible Arbitrage peers slightly eroded
over February as the environment for credit markets
turned more challenging, with spreads widening
particularly in Europe. Though credit arbitragers
generated positive alpha, they did not manage to fully decorrelate from the negative backdrop. Investors’ renewed
appetite for high grade sovereigns and tensions on Italian
debt benefited to managers in the fixed income and global
macro spaces. Yet, many of the global macro funds posted
losses over the month with commodities being a major
detractor from performance. The Lyxor Global Macro Index
declined 0.74% in February.
>> Sliding equity and commodity markets weighted the
most on long term CTAs that had turned long equity.
The Lyxor CTA Long Term and Short Term indices lost in
February 1.22% and 0.15% respectively.
>> “The unexpected outcome of the Italian elections
has hit many hedge fund managers this month but a
full-blown financial crisis is definitely not on their
agenda ” says Stefan Keller, Head of Managed Account
Platform Research & External Relations at Lyxor AM.
Lyxor Hedge Fund Indices
Leveraging on the breadth and diversification of the Lyxor Managed Account Platform, the Index performance aims to be the most representative of
the hedge fund industry. The Lyxor Hedge Indices are composed of funds selected by Lyxor Asset Management, available on its leading Managed
Account Platform that covers all the major hedge fund strategies and benefits from a high level of transparency and risk control, while ensuring
weekly liquidity. These Indices are investable, asset-weighted indices, designed to offer investors straightforward access to hedge fund performance.
The Lyxor Hedge Fund Index range comprises 15 indices from global to mono-strategy or thematic indices. The Lyxor Hedge Fund Index (Global
Index) reflects the average performance of all 13 strategy indices, thereby offering direct exposure to the global hedge fund universe.
CONTACT@LYXOR.COM | +33 (0)1 42 13 84 84
LYXOR FLASH
07
MARCH 2013
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
Bloomberg
Ticker
February 2013
Performance*
YTD
Performance*
LYXRHFI
0.15%
1.73%
Lyxor L/S Equity Long Bias Index
LYXRLSLB
0.94%
4.68%
Lyxor L/S Equity Market Neutral Index
LYXRLSMN
1.65%
6.81%
Lyxor L/S Equity Statistical Arbitrage Index
LYXRSTAT
0.62%
2.52%
Lyxor L/S Equity Variable Bias Index
LYXRLSVR
1.59%
4.10%
LYXRCB
-0.02%
1.17%
Lyxor Distressed Securities Index
LYXRDIST
-0.37%
0.95%
Lyxor Merger Arbitrage Index
LYXRMNA
0.73%
0.96%
Lyxor Special Situations Index
LYXRSPEC
-1.06%
1.51%
Lyxor L/S Credit Arbitrage Index
LYXRCRDT
0.00%
1.44%
Lyxor Fixed Income Arbitrage Index
LYXRFIAR
2.06%
1.50%
Lyxor CTA Long Term Index
LYXRCTAL
-1.22%
0.13%
Lyxor CTA Short Term Index
LYXRCTAS
-0.15%
-0.45%
Lyxor Global Macro Index
LYXRMACR
-0.74%
0.49%
LYXRCDTS
0.57%
1.48%
Lyxor Hedge Fund Indices
Global Index
Lyxor Hedge Fund Index
Strategy Indices
Lyxor Convertible Bonds & Volatility Arbitrage
Index
Thematic Index
Lyxor Credit Strategies Index
(*) MTD returns are based on performance from the last estimated NAV of the previous month until the last estimated NAV of the
reported month. YTD returns are from December 31st, 2012 through February 28th, 2013.
CONTACT@LYXOR.COM | +33 (0)1 42 13 84 84
07 MARCH 2013
LYXOR FLASH
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
THE ALTERNATIVE INVESTMENT
THEINDUSTRY
ALTERNATIVE
BAROMETER
INVESTMENT INDUSTRY BARO
Below is a brief description of the Lyxor Hedge Fund Strategy Indices:
Special Situations is a strategy that encompasses a combination of investment processes targeting equities or bonds whose
valuation is altered by a special situation such as spin-offs, industry consolidations, liquidations, reorganizations, share buybacks
and other extraordinary corporate transactions that generate investment opportunities.
Merger Arbitrage is a strategy that primarily consists of investing in equities involved in merger/acquisition operations and aims to
take advantage of the spread between the price bid for the takeover and the price observed in the market.
Distressed Securities is a strategy that consists of investing in (or selling short) securities of companies for which the price has
been, or is expected to be, affected by a distressed situation (e.g., pre- or post- bankruptcy).
Convertible Bonds and Volatility Arbitrage are strategies that aim to take advantage of volatility arbitrage opportunities by
investing in various financial instruments. Convertible Bonds funds primarily invest in convertible bonds and discretionarily hedge
some of the underlying risk factors (interest rate risk, credit risk, market risk) in order to gain exposure to volatility and/or credit risk at
a very attractive price.
Fixed Income Arbitrage is a strategy that aims to take advantage of pricing anomalies between fixed income securities, sectors,
markets and yield curves.
L/S Credit Arbitrage strategy is a directional strategy that involves buying bonds and credit and fixed income derivative instruments
that are expected to appreciate and selling the ones that are expected to depreciate.
Global Macro is a strategy that aims to take advantage of expected macroeconomic trends and may invest in all types of markets
and instruments.
CTAs Long Term is a strategy that aims to capture price movements in fixed income, equity, currency and commodity markets with
the use of systematic trading models.
CTAs Short Term is a strategy that aims to capture short term price movements in fixed income, equity, currency and commodity
market with the use of systematic trading models.
L/S Equity Variable Bias is a directional strategy that primarily involves buying equities and equity derivatives that are expected to
appreciate and selling those that are expected to depreciate. The portfolio’s net exposure to the market (possibly net long, net short
or market neutral) will be actively managed depending on the manager's expectations.
L/S Equity Long Bias is a directional strategy that primarily involves buying equities and equity derivatives that are expected to
appreciate and selling those that are expected to depreciate, while structurally maintaining a net long exposure to the equity market.
L/S Equity Market Neutral is a strategy that primarily involves buying equities and equity derivatives that are expected to appreciate
and selling those that are expected to depreciate while generally neutralizing broad equity market risks.
L/S Equity Statistical Arbitrage is a strategy that primarily consists of investing in some equities and selling short other equities.
The security selection approach is typically based on quantitative analysis of either fundamentals, prices, or a combination of the
two. This strategy typically seeks to offer limited exposure to equity market risks.
Lyxor Credit Strategies Index aims to measure the performance of hedge funds following any type of credit and fixed income
related strategies : take advantage of pricing anomalies between fixed income securities, sector, market and yield curves, buying
bonds or credit or fixed income derivative instruments that are expected to appreciate and selling the ones that are expected to
depreciate.
Each index is reviewed and rebalanced on a monthly basis in line with investment guidelines, the evolution of assets under
management and the liquidity constraints. Owned by Société Générale Index, the indices are calculated and published on a dail y
basis by Standard and Poors on Bloomberg and Reuters.
SGI is a registered trademark of the Société Générale Group (hereinafter referred to as the "Holder"). The Holder grants no
guarantee and undertakes no commitment, whether explicitly or implicitly, relative to the results to be obtained through the use of the
Indices and/or relative to the level at which the Indices may be at any given moment or day, or of any other type. The Holder will not
be liable for any error affecting the Indices with regard to any party, and will have no obligation to inform anyone of any possible error
affecting the Indices. The Indices are the exclusive property of Société Générale. Société Générale has contracted with Standard &
Poor’s to maintain and calculate the Indices. Standard & Poor’s shall have no liability for any errors or omissions in calculating the
Indices.
A dedicated website www.lyxorhedgeindices.com provides monthly factsheets, valuations, performance and methodology and
performance analysis.
CONTACT@LYXOR.COM | +33 (0)1 42 13 84 84
07 MARCH 2013
LYXOR FLASH
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
Societe Generale
Societe Generale is one of the largest European financial services groups. Based on a diversified universal banking model, the Group combines
financial solidity with a strategy of sustainable growth, and aims to be the reference for relationship banking, recognised on its markets, close to
clients, chosen for the quality and commitment of its teams.
Around 160,000 employees, based in 77 countries, accompany more than 33 million clients throughout the world on a daily basis. Societe
Generale’ teams offer advice and services to individual, corporate and institutional customers in three core businesses:



Retail banking in France with the Societe Generale branch network, Credit du Nord and Boursorama
International retail banking, with a presence in Central and Eastern Europe and Russia, in the Mediterranean basin, in Sub-Saharan Africa,
in Asia and in the French Overseas Territories
Corporate and investment banking with a global expertise in investment banking, financing and global markets.
Societe Generale is also a significant player in specialised financing and insurance, private banking, asset management and securities services.
Societe Generale is included in the main international socially-responsible investment indices: FTSE4Good, ASPI, DJSI World and DJSI Europe.
For more information, you can follow us on twitter @societegenerale or visit our website www.societegenerale.com.
Société Générale Index (SGI) is a leading index provider part of the Société Générale group. SGI is closely linked to the Global Equities and
Derivatives Solutions division, which has been recognised as a global leader in equity derivatives for many years.
The SGI offer is organised around two main ranges of indices, each addressing a specific need either in terms of portfolio diversification or alpha
generation. Furthermore, SGI indices can ultimately be combined in more sophisticated core-satellite strategies to extract the added value of
both spheres.
- α-research indices seek to deliver an excess return over traditional indices by reflecting the evolution of strategies based on systematic or
discretionary investment processes.
- ß-research indices aim to provide an exposure to new investment themes, alternative markets and asset classes
Lyxor Asset Management - www.lyxor.com
A global specialized asset manager
Lyxor Asset Management, a subsidiary of Societe Generale Group, was founded in 1998. With over 600 professionals worldwide, Lyxor
manages USD 99.4 Bn* of assets across four performance engines: Alternative Investments, ETFs & Indexing, Multi-Asset Investments and
Structured Investments.
Our investment specialists deliver asset management and advisory solutions, in all asset classes, to institutional investors. With a strong
culture of risk-management and research, Lyxor stands amongst the leaders in innovative, transparent and flexible asset management.
*AuMs as of December 31st , 2012
Lyxor
CONTACT@LYXOR.COM | +33 (0)1 42 13 84 84
07 MARCH 2013
LYXOR FLASH
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
THE ALTERNATIVE INVESTMENT INDUSTRY BAROMETER
T
H
E
AL
TE
R
N
AT
IV
E
IN
V
E
ST
M
E
N
T
IN
D
U
ST
R
Y
B
A
R
O
M
ET
E
R
CONTACT@LYXOR.COM | +33 (0)1 42 13 84 84