•  
• Tweet
•  
•        Print
•  
•         Track Keywords
•  
• 

Laxman Pai, Opalesque Asia:

In the hedge fund space, Long/Short Equity Strategies struggled and underperformed other hedge fund strategies, said Lyxor in its Weekly Brief.

It said that their market beta and the protracted rotation in risk factors proved to be a serious hurdle since the beginning of the market sell-off early October.

And while Market Neutral L/S Equity strategies proved relatively resilient in October, they were more severely hurt so far in November. Based on a sample of 35 strategies, there were 10 strategies ending October in positive territory, while this month (up to November 20th), only 4 of them are up.

"The ongoing sell-off since the beginning of October has proved difficult to navigate for hedge funds, though there were substantial divergences across strategies," it said.

L/S Equity and Event-Driven strategies underperformed due to their elevated market beta. L/S Equity strategies also suffered due to a rotation in risk factors, which saw growth/momentum stocks underperform value and low beta stocks.

Within Event-Driven, Special Situations strategies were particularly hit.

"Risk assets remained under pressure over the recent weeks, in a context where oil prices experienced a sharp fall, high yield credit spreads widened significantly and Technology stocks in the U.S. showed no signs of revival. From the perspective of equity risk factors, momentum stocks continued to suffer while value and low beta stocks did well on a mon......................

To view our full article Click here