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AII Barometer: The wheel turned in favour of directional strategies

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The Lyxor Hedge Fund Index was up +1.1 per cent in October. Eight out of 11 Lyxor Indices ended the month in positive territory. The Lyxor LS Equity Long Bias Index (+4.5 per cent), the Lyxor Special Situations Index (+3.5 per cent) and the Lyxor Global Macro Index (+2.1 per cent) were the best performers.

Encouraging October economic releases, speculation about non-US central banks actions, and the re-risking of the smart money helped to fuel a rally. The wheel turned in favor of Event Driven and the longest bias L/S Equity. In contrast, CTAs underperformed, hit on their long bonds exposure. Market Neutral funds also suffered from factor rotations.

Within the L/S Equity space, US long bias funds led the group, while pressure fell upon the Market Neutral funds. After weeks of bleeding, the longest bias funds staged a substantial rally, especially in the US. It made up for most of the lost ground since the end of August. Exposures were little altered over the period: this was mainly a beta recovery.

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