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AII Barometer: A pause in rotation boosts hedge funds

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The Lyxor Hedge Fund Index was up +1.2 per cent in May. 10 out of 12 Lyxor Indices ended the month in positive territory, led by the Lyxor Fixed Income Arbitrage Index, the Lyxor LS Equity Long Bias Index, and the Lyxor Global Macro Index (all up +1.9 per cent).

Most strategies delivered positive returns in May to the exception of CTAs taking a hit from the macro rotation which started in April. Put in perspective, for most of Q1, markets priced in a strong US economic lead giving support to non-US reflations. Resurfacing global growth concerns triggered multiple reversals in April. The cyclical slowdown in US and China eroded support to the fragile inflection in Eurozone, via higher Euro, oil, and yields. This was amplified by profit taking and QE distortions, in particular in bonds which endured a staggering plunge.

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