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Alternative Market Briefing

Lyxor’s hedge fund indices show impact of difficult June on performance

Friday, July 13, 2012

Beverly Chandler, Opalesque London: Despite a difficult month for many hedge fund strategies, The Lyxor Hedge Fund Index still reported positive returns for the year at the end of June. June itself showed a slightly negative performance of -0.47% during that month, leaving the year to date figure at a gain of 0.49% in 2012.

Of the 14 Lyxor Strategy Indices, seven showed positive returns, led by Lyxor Fixed Income Arbitrage (+1.97%) and Lyxor L/S Equity Long Bias (+1.95%).

The firm writes that amid volatility above its 2012 average, hedge fund strategies posted mixed performance in June. "Over the last two months however, the outperformance of the hedge fund space over world equity markets has been significant. The MSCI World Index dropped by 4.5% while the Lyxor Hedge fund Index fell by 1%".

Lyxor believes that hedge funds’ resilience can be traced back to historically low net exposure on equities. "From an aggregated perspective, net equity exposures across all strategies are flirting with the lows reached beginning of 2009" they write. "As a consequence, volatility in Hedge Fund returns is also close to historical lows, both from an absolute and a relative (vs. equity markets) standpoint. Hedge Funds thus continue to deliver an attractive risk adjusted returns profile".

Strategies that performed well in June include credit and fixed income related strategies which again offered decorrelated returns. "Even th......................

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