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Lyxor Global Hedge Fund index up two per cent

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The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up two per cent in September lifting year to date gains to 2.8 per cent.

Financial markets featured strong trends during the month of September. US equities rallied hard, as did the USD prices of commodities (including precious metals) and foreign currencies such as the euro. Credit market returns were positive but less extreme, with high yield posting larger gains than investment grade. Treasuries were virtually flat on the month.

The event driven space provided generally positive returns in September. The Lyxor Special Situations Index gained four per cent on the back of equity and credit market gains (with some help from gold); it was the strongest performing hedge fund index over the month. Post-reorganisation equities, for example, benefited from the positive environment.

The merger arbitrage index gained 1.9 per cent as spreads tightened. The distressed index was up 0.5 per cent.

The Lyxor L/S Equity Long Bias Index was up 3.9 per cent on the month. Long bias managers had maintained their exposures during the latter part of the summer and were thus poised to benefit from September’s solid gains in sectors such as basic materials and commodities.

The L/S equity variable bias index was up one per cent. Many managers in this space remain defensively positioned despite increasing net exposures over the month of September.

The L/S equity market neutral and statistical arbitrage indices were both up 0.1 per cent. The market neutral index is the best performing L/S equity index year-to-date (+1.6 per cent), reflecting some persistent trends within equities, such as value versus growth). Life remains difficult for statistical arbitrage managers (the index is down two per cent year-to-date), as correlations among stock returns remain at historically extreme levels and volatility is low.

The Lyxor Long-Term CTA Index continues its run of solid performance, gaining 2.1 per cent (+6.7 per cent on the year). Many of these managers benefited from the persistent equity, commodity, and FX trends.

The short-term CTA index was up 0.5 per cent, although the year-to-date performance of 0.4 per cent signals the difficulty some of the managers in this space have experienced. Significant performance dispersion among short-term CTAs continues.

The Lyxor Global Macro Index was up 2.5 per cent. Managers with a long commodity bias or short dollar bias readily found traction with these themes.

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