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Sentiment swings: Greek pain for all

The Lyxor Hedge Fund Index was down -1.9% in June. None of the 12 Lyxor Indices ended June in positive territory. The Lyxor Fixed Income Arbitrage Index (0%), the Lyxor Convertible Arbitrage Index (-0.1%), and the Lyxor Variable Bias Index (-0.8%) 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%, UK stocks sold off 6% and US stocks were down 2%. With the mainland bubble starting to deflate, Chinese A-shares got crushed 14%, leading EM markets to stumble 4.5%.

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About The Hedge Fund Journal

INFORMING THE HEDGE FUND COMMUNITY With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry. Highlights of Issue 106: Championing Customization: Amundi Alternative Investments Tackling UK Farming’s Funding Shortfall: Helping reform UK’s agriculture and alternative energy industries Shareholder Activism as Private Equity Allocation: The resurgence of the strategy a decade after first rising CME Group Crude Oil Spread Options Suite: Volumes advance with screen-based trading growing fastest Adding Dynamic Beta to Double Alpha: UBS Equity Opportunity Long Short UCITS