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Alternative Market Briefing

Hedge funds helped protect portfolios in June

Wednesday, July 08, 2015

Komfie Manalo, Opalesque Asia:

The Greek crisis in June pushed the Lyxor Hedge Fund Index down 2% (1.9% YTD),but the industry still outperformed traditional asset classes in a context in which thecorrelation between equities and bonds is positive, reported Lyxor Asset Management in its latest Weekly Briefing.

In comparison, the MSCI World fell 2.6% last month and sovereign benchmarks were down on both sides of the Atlantic (the 10-year Bund price down 2%; 10-year Treasury price down 1.7%).

CTAs underperformed, down 4.8% in June (-3.5%YTD) on the back of long exposure to both equities and bonds, and short exposure to agriculturals. "However, after a severe drawdown in Q2 we believe the worst is behind us and we maintain the slight overweight stance expressed a couple of weeks ago (we were neutral over the course of Q2)," said Philippe Ferreira, Lyxor AM’s head of research, managed account platform.

Event Driven managers also underperformed, down 1.8% (+2.3% YTD),as they suffered from their positions in the consumer, financial and energy sectors.Deal spreads were hurt by the declining global risk appetite, the report said. However, L/S Equity proved resilient,down 1% (+4.1% YTD), outperforming equity markets on both sides of the Atlantic. Market neutral funds fared well while Asian funds continued to su......................

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