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Alternative Market Briefing

Hedge funds relatively resilient in Q3

Wednesday, October 07, 2015

Komfie Manalo, Opalesque Asia:

Hedge funds fell in the third quarter as market conditions remain challenging, but still outperformed the S&P 500. The Lyxor Hedge Fund index was down 3.6% during Q3 while the S&P 500 fell 8.2%. According to Lyxor, "hedge funds were quite resilient in Q3. Falling energy prices and the bond rally continued to be supportive for CTAs, up 2.7% in Q3. Meanwhile, L/S Equity funds (-2.2%) outperformed global equity markets (Eurostoxx 300 -10 %; Nikkei -15%)."

The Lyxor Hedge Fund Index was down -1.0% in September (-1.8% YTD). That month, the S&P 500 fell 3%, the MSCI World was down 2.1% and HY cash spreads in Europe and the U.S. widened 70bps approximately.

CTA (+0.5%, -1% YTD) and Global Macro (-0.3%, +0.3% YTD) funds continued to stand out, fueled by the bond rally, particularly in the US. Gains were partly offset by losses posted on some equity (long) and commodities (short). L/S Equity managers were resilient amidst the global equity turmoil (-0.8%, +1.8% YTD) while dispersion in returns among managers was elevated (performances ranged from -8% to almost +3%). Meanwhile, Event Driven managers suffered a setback in September (-4%, -6.3% YTD) from the health care sector, the largest bet among managers.

In its Weekly Briefing, Lyxor Asset Management said, "Going forward, we continue to recommend CTA and Macro strategies. The September establishment survey data signaled an easing......................

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