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Alternative Market Briefing

All hedge fund strategies incur losses in June (+1.91% YTD) on Greece worry

Friday, July 10, 2015

Komfie Manalo, Opalesque Asia:

The Lyxor Hedge Fund Index was down -1.9% in June (+1.91% YTD). None of the 12 Lyxor indices ended the month in positive territory, said Lyxor Asset Management. The Lyxor Fixed Income Arbitrage Index (0%), the Lyxor Convertible Arbitrage Index (-0.1%), and the Lyxor Variable Bias Index (-0.8%) were the best performers.

Another round of global steepening early June gave way to a sudden Greek-related risk aversion. The euro finished where it started, but with great volatility. Equity markets mirrored a growing risk aversion and high uncertainty toward the resolution of the Greek saga. By the end of the month, funds on the Lyxor platform displayed a moderate direct exposure to the Greek risk. Few funds hold direct net exposures to Greek assets, and moreover these are fairly limited.

"Central banks have inflated asset prices and most bond and equity markets appear fair to rich. In this challenging environment, new regimes of volatility / dispersion / correlation should promote hedge funds’ alpha generation." says Jeanne Asseraf-Bitton, Global Head of Cross Asset Research at Lyxor AM.

The Lyxor L/S Credit Arbitrage index was down -1.3% over the month. Credit funds were primarily impacted by their beta exposure. Conservatively positioned, they outperformed their underlying exposure. The main losses were recorded in European financial credit issues and periphery spreads.

CTAs were chall......................

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