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Alternative Market Briefing

All hedge fund strategies occurred losses first week of June but outperformed bonds and equities

Tuesday, June 16, 2015

Komfie Manalo, Opalesque Asia:

Equity and bond markets experienced renewed tensions last week as the European markets saw higher selling pressure than U.S. markets, which was a negative for global macro managers as they have sizeable long European equities positions in their portfolios, according to Lyxor Asset Management’s Weekly Briefing.

Philippe Ferreira, head of research, managed account platform at Lyxor said that in the week ending Jun 09, the Lyxor Hedge Fund Index was down 1.2% (+2.4% YTD), with all strategies ending in the red. The Eurostoxx 50 and the S&P 500 were down 3% and 1.4% respectively. Hedge funds were hurt by the sell-off in stock prices and the appreciation of the euro vs the dollar.

"Fixed Income was resilient in these difficult market conditions, as both credit and convertible bonds were the best performers last week," he said and added, "Losses were offset by higher implied volatility and some gains generated on specific U.S. energy related names. Meanwhile, CTAs (-2.2%) and Global Macro (-1.4%) managers underperformed, hurt by the surge in the euro vs the dollar."

However, Ferreira said that in the current risk-adverse environment, hedge funds posted negative returns but outperformed traditional asset classes. He added that the positive correlation between equiti......................

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