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Alternative Market Briefing

Lyxor Hedge Fund Index up 0.6% last week as ECB fails to meet expectation

Tuesday, December 08, 2015

Komfie Manalo, Opalesque Asia:

The Lyxor Hedge Fund Index was up 0.6% as of Dec. 1 (+1.1% YTD) as long term CTAs outperformed as a result of continued trends in FX (USD up), commodities (down), equities (up) and fixed income (yields edged lower), Lyxor Asset Management said in its Weekly Briefing.

Lyxor said that most L/S equity funds and global macro funds in the index were also up, whilst returns on event-driven funds were up in aggregate but mixed by other measures due to a significant number of special situations funds in the sample being down. L/S credit and fixed income arbitrage were down 0.6% during the week (+4.2% YTD).

However, Lyxor AM senior strategist Philippe Ferreira said that the European Central Bank’s (ECB) decision to take additional easing steps on December 3rd did not meet market expectations. As a result, equity and bond markets sold off in Europe, with global contagion effects on risk assets. The EURUSD bounced back while commodities rose as a result of a falling USD. The latter was also related to a testimony by J. Yellen expressing a gradual approach to Fed rate hikes.

Ferreira said, "How does all of this impact hedge funds? We do not have comprehensive data yet on performances for the most recent days but we estimate that the impact is manageable. Over recent months, hedge funds have maintained a defensive stance in portfolios, with a market beta below 20% since the late August market sel......................

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