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Alternative Market Briefing

Hedge funds navigate Chinese turmoil without major damage

Thursday, January 21, 2016

Komfie Manalo, Opalesque Asia:

Hedge funds navigated the Chinese market turmoil without major damage with the Lyxor Hedge Fund Index down only -0.5% during the week beginning January 05 to 12 (-0.8% YTD), according to the latest data from Lyxor Asset Management.

CTAs strongly outperformed during the week with 2.6% returns (+3.6% YTD) as they were supported by their long fixed income, long USD and short commodities. Meanwhile, managers shaved off their exposure to equities.

Philippe Ferreira, a senior strategist at Lyxor AM said, "Hedge funds, which have adopted a defensive stance over the course of the second half of 2015, have been able to navigate the turmoil without major damage. They have been supported by their long fixed income, long USD and short commodities positioning. Meanwhile, CTAs have massively shaved off their equity holdings during the first week of January. The equity deleveraging by CTAs early January is comparable to the cut implemented between August 18th and 25th 2015."

Other hedge fund strategies are down YTD by a range spanning from -0.5% (Lyxor Global Macro index) to -2.2% (Lyxor Event Driven Broad Index). The worst performing sub-strategy is special situations, down by -3.8% YTD. This is a strategy that was downgraded to underweight December. In terms of funds’ performance, Lyxor noted that: i) all CTAs but one in the sample are in positive territory, ii) all event-driven......................

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