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Alternative Market Briefing

Lyxor hedge fund index up 1.13% in September, +3.17% year to date

Tuesday, October 08, 2013

Beverly Chandler, Opalesque London:

Rob Koyfman, Senior Strategist at Lyxor AM commented: "Funds have generally increased their risk exposure through September with a positive view of risk assets and to benefit from any year-end rally." He was reporting on the news that 10 Lyxor Strategy Indices out of 13 ended the month of September in positive territory, led by the L/S Equity – Variable Bias (+2.28%), the L/S Equity – Long Bias (+1.99%) and the Event Driven – Special Situations Index (+1.95%).

The firm writes that hedge funds generated solid performance in September as assets rallied post reduced Syria tensions and a dovish Fed. The Lyxor Hedge Fund Index was up 1.13% while the HFRX Index was up 1.0%. The average equity beta of funds increased to 31% from 24% over the course of the month as managers added to risk exposure. The firm writes that funds have generally increased their risk exposure through September with a positive view of risk assets and to benefit from any year-end rally.

Equity strategies generally did well as the S&P 500 was up close to 4%. L/S Equity Long Bias was up 1.99%, approximately as expected by the beta exposure. However, Long Bias managers reduced risk with net exposure down 13% to 66%. Gross exposure remained steady at 135% as reduced long positions were offset by higher short positions. L/S Equity Variable Bias gained 2.28% and was the best performing equity sub-strategy. Variable fu......................

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