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Alternative Market Briefing

Lyxor reports just three out of 13 hedge fund strategies end August in positive territory

Monday, September 09, 2013

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 assets."

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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