Just three out of 13 Lyxor Strategy Indices ended the month of August in positive territory as hedge funds lost ground during the month.
The Lyxor Convertible Bonds & Volatility Arbitrage Index gained 0.26% in August, the Lyxor L/S Credit Arbitrage Index 0.51% and the Lyxor Merger Arbitrage Index 0.04%.
Meanwhile, the Lyxor CTA Long Term Index posted the largest losses with 3.99%, followed by the Lyxor L/S Equity Variable Bias index, which lost 1.91%, and the Lyxor CTA Short Term Index, which lost 1.34%.
Others that posted losses are the Lyxor Hedge Fund Index (-1.13%), the Lyxor Fixed Income Arbitrage Index (-1.04%), the Lyxor L/S Equity Long Bias Index (-1.02%), the Lyxor Equity Market Neutral Index (-0.95%), the Lyxor Global Macro Index (-0.66%), the Lyxor Special Situations Index (-0.26%) and the Lyxor Credit Strategies Index (-0.18%).
“Risk premium increased notably as investors debated the size and pace of the Fed’s tapering, considered the softening fundamentals in emerging markets and assessed the geopolitical risks in the Middle East,” Lyxor says.
“However, many managers, especially on the equity side, entered the month with reduced risk given the strong run of assets year-to-date and ‘known known’ risks in September.”
Hedge fund beta remained mostly steady in August at 0.27.
©2013 funds europe
