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Alternative Market Briefing

New market regime has created more dispersion between managers

Wednesday, May 06, 2015

Komfie Manalo, Opalesque Asia:

The month of April has marked the transition toward a new market regime, Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented in the May 5's Weekly Briefing. "The first quarter has been driven by expectations of monetary policy tightening in the U.S. and easing measures in the rest of the world. In this context, Hedge Funds fared well, with numerous opportunities in all asset classes. But in April, markets have absorbed the "weaker than expected" developments in the US, and continued to reprice monetary policy accordingly. Implications loom large on several asset classes: fixed income, FX and commodity markets experienced large trend reversals."

For the second week in a row, hedge funds posted negative returns, on the back of the underperformance of long term CTAs. The Lyxor L/S Equity Broad Index (-0.5% WTD) ended the month up 0.3% (+3.5% YTD). As expected, short term CTAs have outperformed long term systems due to trend reversals in fixed income, FX and commodities.

The Lyxor CTA Broad Index is down 1.6% WTD, -1.4% in April and up 7.5% YTD. Whilst the first part of the year has seen tremendous performance from CTAs, he said, Long Term CTAs were exposed to such trend reversals and actually experienced losses in April, though moderate, at -1.6%. On a year-to date basis, they are up 8%.

Ferreira went on to say, "In this c......................

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