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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