The Lyxor Hedge Fund Index was down 0.9 per cent last month, with four out of 10 Lyxor indices in positive territory, according to the latest Lyxor Alternative Investment Industry Barometer.
Event Driven funds continued to extend their steady progress in June, supported by their exposures to healthcare and financials. Fixed Income Arbitrage manages outperformed, while CTAs suffered from the bond correction.
“Most micro strategies benefitted from an improving alpha environment since mid-2016. We expect more demanding conditions going forward,” says Jean-Baptiste Berthon (pictured), Senior Cross-asset Strategist, Lyxor Asset Management.” We focus on deep value L/S Equity and Special Situations funds, at the expense of quantitative funds.
“By contrast, macro dynamics are likely to return to the fore. We expect a richer set of relative opportunities, but coming with higher risks. We would reweight Macro funds and keep CTAs underweighted.
“Besides, we would maintain strategies with a tilt on carry, including Merger, Fixed Income Arb and EM focused funds.” Jean-Baptiste Berthon, Senior Cross-asset Strategist, Lyxor Asset Management.”
