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AII Barometer: Sentiment swings – Greek pain for all

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The Lyxor Hedge Fund Index was down -1.9 per cent in June. None of the 12 Lyxor Indices ended the month in positive territory. The Lyxor Fixed Income Arbitrage Index (0 per cent), the Lyxor Convertible Arbitrage Index (-0.1 per cent), and the Lyxor Variable Bias Index (-0.8 per cent) were the best performers.

Another round of global steepening early June gave way to a sudden Greek-related risk aversion. A second phase of curve steepening started early June adding approximately 40bps to German 10Y yields and 30bps to UST. The Euro finished where it started, but with great volatility. Equity markets mirrored a growing risk aversion and high uncertainty toward the resolution of the Greek saga. EMU equities lost 5 per cent, UK stocks sold off 6 per cent and US stocks were down 2 per cent. With the mainland bubble starting to deflate, Chinese A-shares got crushed 14 per cent, leading EM markets to stumble 4.5 per cent. By the end of the month, funds on the Lyxor platform displayed a moderate direct exposure to the Greek risk. Few funds hold direct net exposures to Greek assets, and moreover these are fairly limited.

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