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Komfie Manalo, Opalesque Asia:

Hedge funds were down last week with the Lyxor Hedge Fund Index falling -0.8% as of June 14 (-3.2% YTD). However, cautious positioning and strategy diversification limited the losses compared to markets. The MSCI World was down -0.92% during the same period (+0.08% YTD).

CTAs were supported by the decline of sovereign 10-year yields on both sides of the Atlantic. Overall, their stances on Japan, both on equities (short) and FX (long), paid off. They were also the best performing strategy of the month, up +3%, making up for most of their recent losses. Event driven funds posted slight losses. Merger returns offset part of the Special Situations’ drawdown.

Macro managers, which were overall positioned on Europe and Japan, took a hit.

De-risking accelerates ahead of Brexit poll

Lyxor Asset Management said in its Weekly Briefing that market stress materially rose last week. De-risking ahead of the British referendum accelerated as polls and bookmakers depicted an increasingly uncertain outcome.

Jean-Baptiste Berthon, senior strategist at Lyxor AM commented, "The UK wildcard was not the only factor at play. The early-June U.S. payroll numbers shook confidence that the Fed would be able to move before the summer. It was confirmed by last week’s FOMC which was unequivocally dovish. Six members now envisage only one rate hike this year. Further, the median dots for 2017 and 2018 as well as the terminal rate were revi......................

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