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Alternative Market Briefing

Hedge funds close October on positive note as cautious central banks push markets up north

Tuesday, November 07, 2017

Komfie Manalo, Opalesque Asia:

Hedge funds closed October on a positive note as markets kept on heading north, supported by very cautious central banks, multiplying evidences of a macro-acceleration, and by decent earnings reports. The Lyxor Hedge Fund Index was up +0.4% from 24 October to 31(+3.8% YTD).

In its Weekly Briefing, Lyxor Asset Management said that CTAs continued to outperform, followed by L/S equities and macro managers. Their long on equities and euro bonds, as well as their long energy more than offset losses in short USD and long gold positions. Diversified L/S equity and special situations also benefitted from rising equities. Quant funds lagged.

Lyxor AM Senior Strategies Jean-Baptiste Berthon commented, "CTAs confirmed their recovery with month-to-date performance +4.8%, mainly backed by the momentum in global equities and oil price. The same factor benefitted macro funds given their constructive positions in equities and net long exposures to oil. L/S equities edged higher with elevated dispersion between fundamental pickers and systematic quants."

He added that while the former was fueled by an upbeat earning seasons, neutral strategies were more vulnerable. Credit strategies posted mixed results amid dovish tone of ECB announcement and speculations over next U.S. fed chair.

Lyxor said that Quant funds remain in positive territory this year, but failed to break through for the following re......................

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