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Alternative Market Briefing

Lyxor Hedge Fund Index slightly up as global macro outperforms

Tuesday, October 31, 2017

Komfie Manalo, Opalesque Asia:

The Lyxor Hedge Fund Index gained a modest +0.4% from 17 October to 24 (+3.4% YTD), with global macro managers outperforming as they benefitted from short rate allocations, Lyxor Asset Management said in its Weekly Briefing. Global macro's constructive views on Japan were also rewarding, in particular through long equities and short Japanese yen and USD.

"Most hedge fund strategies remained in positive territories. Global Macro led the pack, benefitting from their short European bonds and from their positions in Japanese FX and equities," said Jean-Baptiste Berthon, senior strategist at Lyxor AM.

The report added that event-driven strategies continued their winning streak and are now up +8.3% year-to-date. During the week, special situation delivered strong results on the back of positive EPS surprises. Merger arbitrage outperformed thanks to M&A positions such as NXP Semiconductors / Qualcomm and Abertis / Atlantia Spa as deal spread tightened.

CTAs were resilient. Losses endured on the fixed income bucket were offset by gains delivered on the equity side, Berthon said.

Monetary normalization helps markets

Lyxor explained that the cautious move toward monetary normalization led by several central banks did not wreak havoc on markets. They find support from economic prints flashing green and a much healthier load of earnings announcements since last week. The election ......................

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