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Alternative Market Briefing

Risk-on sentiment boosts hedge funds

Tuesday, September 19, 2017

Komfie Manalo, Opalesque Asia:

Risk-on sentiment bolstered hedge funds last week, with all strategies ending on the positive side, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Hedge Fund Index was up +0.5% from 05 September to 12 (+0.8% YTD).

"Global macro managers benefitted from rising bond yields in the UK and Canada due to their fixed income short positions. Long exposure on European equity indices paid off. CTAs delivered solid returns due to long positions on DM equities. Yet, fixed income and commodity buckets were a drag to performance," Philippe Ferreira, Lyxor AM's senior strategist said.

Event driven and L/S equity also delivered strong gains. Special situations thrived from their holdings on Baxter and DowDuPont. Variable bias L/S equity managers outperformed in Europe, he added.

Gilt wobbles fuel global macro strategies

The report said that mounting signals that the latest leg of the bond market rally has started to reverse fueled hedge fund strategies last week. Most recent inflation numbers outpaced expectations both in the U.S. and the U.K., as consumer prices rose +1.9% and +2.9% year-over-year in August, respectively.

Sovereign bond yields rose in developed markets, in particular in the U.K, and yield curves steepened somewhat. Meanwhile, equity markets extended their winning streak both in developed and emerging markets.

Ferreira explained that such developme......................

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