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Alternative Market Briefing

Liquid hedge funds outperformed equities and a 60/40 portfolio: Lyxor

Tuesday, October 16, 2018

Laxman Pai, Opalesque Asia:

Hedge funds were down last week, though they outperformed equity benchmarks and a diversified 60/40 equity/bond portfolio, said Lyxor in its Weekly Brief.

According to the report from Lyxor's Cross Asset Research, high beta strategies, in which Lyxor has been defensive for some time, underperformed. Special Situations and L/S Equity strategies were under pressure.

UK L/S Equity strategies underperformed in a context where the rise of the GBP vs. USD added pressure to local markets. CTAs underperformed.

Relative Value Arbitrage remains the best performing strategy this year. The rise in bond yields across the yield curve in most developed countries was supportive, though last week the strategy was flat.

"Overall, it is important to note that dispersion between fund returns was elevated, especially for L/S Equity (including Market Neutral) and Global Macro where several strategies managed to deliver positive returns based on their defensive positioning," the Brief said.

Higher bond yields and political uncertainty took a toll on risk assets last week. In the U.S., business surveys at record highs and the unemployment rate at multi decade low raised fears of overheating.

Treasury yields were on the rise since late August and the yield curve steepened. This selloff thus shares similarities with the February selloff and is not related with recession fears, on the contrary. Concurrently, the standoff between Italy and the E......................

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