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Alternative Market Briefing

CTAs surge in June, up 5.2% (+2.1% YTD), hedge funds resilient

Tuesday, July 05, 2016

Komfie Manalo, Opalesque Asia:

The UK referendum outcome provided a major boost for CTAs while other strategies were relatively unscathed. The Lyxor CTA Broad Index gained 5.2% in June (+ 2.1% YTD), while the Lyxor Hedge Fund Index was resilient amidst the market turmoil and was down -1.3% (-3.6 YTD) during the period.

In its latest report, Lyxor Asset Management said that CTAs made the most from their defensive positions, namely on the European, UK and US fixed income portfolios. The short stance on the GBP and longs on gold contributed positively to the performance.

Macro managers experienced different outcomes (0.2%). Their shorts on GBP were major P&L drivers. Less directional strategies worked well; merger arbitrage outperformed special situations, variable bias and market neutral funds outperformed long bias ones.

Jean-Baptiste Berthon, senior strategist at Lyxor commented, "It will take time for markets to fully digest the impacts of the UK referendum. Brexit took investors and Europe by surprise. But markets have not reacted irrationally so far. Key variables are missing to balance investors’ equation." Berthon said that the main questions of investors include:

When the exit process will begin and who will manage it? While Europe is pressing for a quick process, PM Cameron is leaving his successor the responsibility to trigger Article 50 of the Lisbon treaty. The five current PM cand......................

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