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Alternative Market Briefing

Hedge funds start Q4 on strong footing reversing the previous market downturn

Tuesday, October 13, 2015

Komfie Manalo, Opalesque Asia:

Hedge funds started the fourth quarter on a strong footing, reversing the previous market downturn with the Lyxor Hedge Fund Index up 1.1% as of end Oct. 6 (-0.7% YTD). Event-driven outperformed, up 2.2% (-4.2% YTD), and CTAs underperformed (- 1.9%), extrapolating in the hedge fund space the sharp market reversal.

In its Weekly Briefing, Lyxor Asset Management said that managers beaten down during the sell-off rallied the most last week, with single fund weekly performances printing in the 5-7% range in some cases. "Our cautious stance on CTAs and our preference for global macro managers paid off, with the Lyxor Global Macro Index up 2% last week (+2.2% YTD)," said Philippe Ferreira, senior cross asset strategist at Lyxor AM.

Lyxor added that during the first week of October, risk assets rallied, with the MSCI World up 5.8%, following expectations that the Fed will postpone its first rate hike well into 2016. Implied equity volatility fell, the USD depreciated against major currencies, high yield spreads tightened, particularly in Europe, and commodities rallied. Finally, emerging markets received a breath of fresh air with the upturn in commodity prices.

In the Long/Short equity space, value managers partially recouped the severe losses experienced during the summer. However, they remain far in the red on a year to date basis. The report said that the good news is......................

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