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Alternative Market Briefing

Hedge funds end October on solid footing

Tuesday, November 03, 2015

Komfie Manalo, Opalesque Asia:

Hedge funds ended October on a solid footing, fuelled by the European Central Bank (ECB) tailwind and renewed sense of market optimism. On a monthly basis, the Lyxor Hedge Fund Index was up 2% in October (+0.1% YTD).

In its Weekly Briefing, Lyxor AM said that event-driven and global macro strategies outperformed, up 2.5 and 3% respectively last month. CTAs, which were up 2.7% last week (-1.1% YTD), underperformed for the full month of October as they failed to capture the market rebound.

Lyxor AM’s senior strategist Philippe Ferreira said, "All buckets were rewarding: long USD vs major currencies, long bonds and short commodities. They particularly benefitted from the fall in Bund yields, down 18 bps over the period. The recent development on Pfizer and Allergan case supported the performance of some managers, offsetting losses on Valeant."

The report added that the widening gap between the monetary stance in the U.S. (hawkish bias) and in Europe (dovish) has fuelled the USD and dragged down commodity prices.

Ferreira added, "This is supportive for CTAs and macro managers on which we remain overweight. According to our proprietary data, both strategies are long USD vs major currencies and short commodities. There are nonetheless nuances: CTAs are relatively more aggressive on energy (net short) than macro. In the wake of the ECB’s dovish words, long duration positions of CTAs ar......................

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