Wheel turns in favour of directional strategies
The Lyxor Hedge Fund Index was up +1.1% in October. 8 out of 11 Lyxor Indices ended the month in positive territory. The Lyxor LS Equity Long Bias Index (+4.5%), the Lyxor Special Situations Index (+3.5%) and the Lyxor Global Macro Index (+2.1%) 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 favour 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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