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Alternative Market Briefing

Lyxor Hedge Fund Index up 0.1% (+0.4% YTD) as global macro and CTAs outperform

Tuesday, November 17, 2015

Komfie Manalo, Opalesque Asia for New Managers:

Global macro and CTAs outperformed the hedge fund space and delivered positive returns last week amidst difficult market conditions, with the Lyxor Hedge Fund Index up 0.1% as of end Nov. 10 (+0.4% YTD).

Lyxor AM senior strategist Philippe Ferreira commented in the firm’s Weekly Briefing, "We reaffirm our overweight stance on these two strategies. During the period under review, both equities and sovereign bonds experienced a drop in prices. This negatively impacted directional strategies, such as L/S Equity long bias and event-driven. We now advise on being defensively positioned on such strategies."

CTAs outperformed, up 1.4% during the period (-1.8% YTD), as the appreciation of the USD against major currencies and the fall in commodity prices helped offset the rise in bond yields.

Global macro managers were also up, 1.3% (+4.6% YTD), as their long USD positions proved rewarding. Event driven was down 1.1% (-4.2 YTD), as a result of the underperformance of special situations funds. Exposure to healthcare weighed on performance. Companies such as Mallinckrodt, Valeant and Celgene experienced double digit falls last week.

Lyxor added that hedge funds delivered flat returns as markets experienced trend reversals. The October rally was short-lived and conditions became adverse fol......................

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