Lyxor reports that the Lyxor Hedge Fund Index was down -0.9 per cent in June, with three out of ten Lyxor indices ending the month with a positive performance. CTAs performed well, skyrocketing up 6.2 per cent, thriving on the volatility while other hedge fund strategies, cautiously positioned, recorded moderate losses. Low directional strategies fared better.
At the end of the month, the median equity beta of the platform stood below 10 per cent, Lyxor writes. Models successfully benefited from the flight to quality, their defensive positioning paid off. The fixed income space contributed the most to the performance.
Sovereign yields compressed across the globe with central banks all synchronised in an accommodative mode. The FX bucket posted gains as well, mainly from sizeable short positions on the GBP. Finally, allocations to safe havens also paid off, in particular
through their longs on JPY and gold contracts. Overall, the equity cluster was detrimental for long positioned managers as equities sold-off. Short term models remained flat through the period.
“Brexit is likely to keep elevated assets volatility and result in greater differentiation across European markets. This should be generally beneficial for hedge funds, for relative value and nimble styles in particular. Meanwhile, corporate activity involving a UK counterparty should get under more pressure, a source both of opportunity and risk for Merger funds,” says Jean-Baptiste Berthon, Senior cross-asset strategist at Lyxor Asset Management.
