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Alternative Market Briefing

Hedge funds fell second week of August as Trump and North Korea rattle saber

Tuesday, August 22, 2017

Komfie Manalo, Opalesque Asia:

Hedge funds were down from the week covering August 8 to 15, with the Lyxor Hedge Fund Index down -0.6% during the period (0.0% YTD). Lyxor Asset Management said that global macro funds underperformed, though returns were dispersed. Though exposures to rates and equities usually cost, they recorded gains in FX.

Jean-Baptiste Berthon, Lyxor AM senior strategist, commented, "CTAs fared better with gains in short commodities, offsetting their losing long equity allocation. L/S equity fund returns were consistent with their beta exposure. Alpha contribution was tamer, with a strong earning season overshadowed by political and geopolitical noise. Event-driven and fixed arbitrage funds outperformed."

However, Berthon said that event-driven funds proved resilient during the week, while special situations funds benefitted from their tilt to non-cyclical sectors. Their activist positions were also resilient: the presence of a fundamental catalyst helped weather the short-term volatility. Merger arbitrage continued to benefit from several bidding wars. They remain under-invested and tend to favor complex operations while remaining shy of the mainstream low-yielding deals.

The report said that beta was the main L/S equity funds' driver. The summer air-pocket overshadowed a strong U.S. earnings season. Strong top-line growth and an elevated share of earning beats were not rewarded in markets. ......................

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