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Alternative Market Briefing

Hedge funds flat in third week of October, long/short equity outperforms

Tuesday, October 25, 2016

Komfie Manalo, Opalesque Asia:

Hedge funds were flat as of the week ending 18 October (-1.0% YTD), with L/S equity funds outperforming (+0.3%) during the same period, said Lyxor Asset Management. Directionality paid off as markets were risk-on.

Philippe Ferreira, senior strategist at Lyxor AM, said that the longest bias L/S equity funds were up 0.7%, supported by a strong start to the Q3 earnings season, which was led by U.S. banks. In the meantime, market neutral funds recorded healthy returns. The other hedge fund strategies were flat. Within event driven, special situations (+0.5%) outperformed merger arbitrage (-0.3%). Credit arbitrage outperformed fixed income funds, but remained flat due to their cautious exposure.

He added, "Fixed income markets have faced some pressures lately, as investors fret about less accommodative monetary conditions going forward. In addition, higher energy prices have fuelled bond yields, as both OPEC members and Russia reiterated their willingness to find an agreement on an oil production freeze. Meanwhile, inflation rates have moved higher in September, as the energy component started to be less of a drag."

CTAs made sharp adjustments to their long exposure to fixed income

Ferreira said that the upward trend in bond yields has led to a sharp adjustment of CTAs’ long exposures to fixed income. Trend followers have actually turned short duration on U.S. fixed income, ac......................

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