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Value-sensitivity supported Market Neutral L/S funds in July, says Lyxor

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The Lyxor Hedge Fund Index was flat in July, with six out of 10 Lyxor indices ending the month in positive territory, according to the latest Lyxor Alternative Investment Industry Barometer.

The month’s top performer was the Lyxor L/S Equity Market Neutral Index with a return of 2.3 per cent, followed by the Lyxor L/S Equity Variable Bias Index which returned 1.4 per cent., while the Lyxor Global Macro Index was the month’s biggest loser, down 1.0 per cent.
 
The strong earnings season in the US supported Event Driven and L/S Equity funds. The rise in EUR vs. the USD was a tailwind for CTAs but a headwind for Global macro managers, which suffered also from the underperformance of European equities.
 
“L/S Equity funds delivered solid returns in July and experienced strong inflows over the recent months,” says Philippe Ferreira (pictured), Senior Cross-asset Strategist, Lyxor Asset Management. “Within the L/S Equity strategy, market neutral funds outperformed after having delivered poor returns in Q2.
 
“We believe quantitative funds remain nonetheless under factor rotation pressures and prefer fundamental to quantitative funds within L/S Equity.”

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