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Alternative Market Briefing

Market sell-off hits hedge funds selectively

Tuesday, February 13, 2018

Komfie Manalo, Opalesque Asia:

The market sell-off has hit hedge funds selectively as the Lyxor Hedge Fund Index fell -1.9% from 30 January to 06 February (-0.9% YTD) with CTAs underperforming, Lyxor Asset Management said in its latest Weekly Briefing.

Lyxor added that trend followers suffered particularly from their outstanding long stance on equities and oil. Bonds were more supportive, but couldn't offset losses. Fixed income and credit funds were resilient, similar to that of credit markets.

Lyxor AM Senior Strategist Philippe Ferreira commented, "On the alternative front, there is no such thing as a trend reversal to hurt CTAs. The Lyxor CTA Index underperformed last week, down -3.9%. Several managers had started to cut leverage ahead of the event and managed to limit losses. The performance of a sample, wider than the index discussed above, ranges from -2% to -15% since early February. Most funds are now in negative territory YTD. L/S Equity funds also suffered a -2.2% drawdown last week."

Other hedge fund strategies posted losses in line with their net exposures, he said. The more directional funds underperformed. Their losses were concentrated on sectors such as energy, healthcare and financials.

Ferreira added that on a positive note, merger arbitrage fared very well and matched expectations regarding their ability to deliver returns uncorrelated with market movements.

"We reiterate our strong co......................

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