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Alternative Market Briefing

Hedge funds report mixed returns in mid-October

Tuesday, October 20, 2015

Komfie Manalo, Opalesque Asia:

Lyxor Asset Management said that hedge funds reported mixed returns in mid-October as most directional strategies, including long bias L/S equity, event driven and L/S credit – staged a rebound from depressed valuations.

CTAs and global macro gave back some of their recent gains. They were mainly hit by weaker USD crosses, while marginally losing on their long bond exposures. CTAs' short-term models repositioned faster and outperformed their long-term peers. Market neutral funds suffered from the asset rotation, which violently reversed multiple momentum plays.

"Hedge funds were slightly negative territory as of end Oct. 13, with the Lyxor Hedge Fund Index down 0.2% (-0.9% YTD)," said Jean-Baptiste Berthon, senior cross asset strategist at Lyxor AM. "For the second week in a row, event driven led the pack, recovering from both the sell-off and the U.S. healthcare debacle. Both merger arbitrage and special situations funds posted gains as deal spreads significantly tightened on some core investments."

Berthon added, "L/S equity managers experienced a high dispersion in returns, with performances ranging from 2% to +6% for our Pan Asian fund." Overall, U.S. managers outperformed their peers with all but one ending the week in the black. CTA and global macro managers were the laggard, dragged down by the depreciation of the USD against major currencies an......................

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