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Alternative Market Briefing

Lyxor Hedge Fund Index posted a 1.63% loss in June, up 1.85% year to date

Monday, July 08, 2013

Beverly Chandler, Opalesque London:

Lyxor reports that all Lyxor Indices ended the month of June in negative territory, with the worst index performers the CTA Long Term (−2.64%), the Lyxor Long/Short Equity Market Neutral Index (−2.45%) and the Long/Short Equity Credit Arbitrage Index (−2.40%). As a result, the Lyxor Hedge Fund Index posted a negative performance at -1.63% in June but is in positive territory at the end of the first half of 2013, up 1.85% year to date.

The firm writes that hedge fund performance in June was hurt by de-risking and a re-pricing of all assets due to higher bond yields. Most asset classes declined in value and hedge funds were hurt by a lack of safe haven and higher correlation among assets.

Lyxor feels that the bulk of the bond yields re-pricing might be finished. "Though higher yields over the next 12 months remain a distinct probability, few market participants expect bond yields to increase by the same sharp pace as in June."

Beyond that, investing in emerging markets proved difficult in June as the entire asset class sold off on the back of the rate funding spike in China. "This funding spike was temporary and might recede as the authorities in China find a balance between curtailing credit growth and keeping financial markets functioning smoothly. According to managers on the Lyxor Managed Account Platform, the dislocation in asset prices in June represents a......................

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