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Alternative Market Briefing

All hedge fund strategies rebounded last week as market conditions normalize

Wednesday, May 27, 2015

Komfie Manalo, Opalesque Asia:

After a difficult start this month, all hedge fund strategies ended last week in positive territory, as the Lyxor Hedge Fund Index gained 0.9% (-0.2% MTD, 3.3% YTD). According to Lyxor AM’s latest Weekly Briefing, in the first weeks of May, the higher volatility regime exhibited by several asset classes impacted hedge funds negatively.

Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented, "It was a good week for hedge funds, with all strategies ending in positive territory. L/S Equity lead the pack."

CTAs rebounded, up 1% (-6.4% MTD, 0.6% YTD). Managers generated alpha mainly on their equity and fixed income buckets, while FX was more mixed. The rebound came from the uptick in equity markets and lower bond yields in Europe following comments by the European Central Bank announcing that it would front-load asset purchases in May and June to take into account lower liquidity during the summer.

L/S Equity continued to outperform peers (+1.2%, 0.8% MTD, 4.9% YTD), led by emerging market managers. He added that Asian managers still benefitted from the positive momentum in Asia, while all funds generated alpha on both sides of the Atlantic. Overall, all funds except one ended in the black.

Event driven managers continued their upwards trend, with Special Situations outperforming merger arbitrage. Event driven (0.7%, 0.8% YTD, 3.8%......................

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