Beverly Chandler, Opalesque London:
Lyxor reports that just three of their 13 strategies ended the month of August in positive territory, led by the L/S Credit Arbitrage
(+0.51%), the Convertible Bonds Arbitrage Index (+0.26%) and
the Event Driven – Merger Arbitrage Index (+0.04%). The Lyxor
Hedge Fund Index posted a negative performance of -1.13% in
August (+2.02% YTD).
The firm writes: "Hedge Funds lost ground in August but many alternative
strategies held up well despite increased volatility across asset
classes. Risk premium increased notably as investors debated
the size and pace of the Fed’s tapering, considered the
softening fundamentals in emerging markets and assessed the
geopolitical risks in the Middle East. However many managers,
especially on the equity side, entered the month with reduced
risk given the strong run of assets YTD and "known known"
risks in September. Overall Hedge Fund beta remained mostly
steady in August at 0.27. The Lyxor Hedge Fund Index in
August was down 1.13% but compares favorably with other
Looking at each strategy, Lyxor reports that managers in the Long/Short equity segment had modest
negative draw-downs of between 1% and 2%. The firm writes: "Long bias funds
generated a -1.02% return in August while the less directional
funds didn’t fare better. For example, Variable Bias funds were
down 1.91% and Neutral Bias funds also slightly declined
0.95%. The performance of ......................
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