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Lyxor Global Hedge Fund index up 2.1 per cent in May

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The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up 2.1 per cent in May.

The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up 2.1 per cent in May.

Since the beginning of the year the index is up 2.2 per cent.

In May, risk appetite further increased, fuelling the rally across all asset classes. Improving liquidity and trading conditions are clearly helpful to all fixed income related strategies.

Spreads continued to tighten, providing an additional push for long/short credit (+11.3 per cent this month) and convertible arbitrage funds (+1.1 per cent).

Fixed income players (+1.9 per cent) reaped the benefits of higher volatility on bond markets.

Discretionary global macro managers were also able to play these drastic movements in the bond market, both across the curve and across regions. As a whole global macro funds were up by 1.5 per cent in May.

As for directional trading systems, the gap Lyxor has been observing since March between long and high frequency models widened further. While high frequency strategies are up by 5.1 per cent this month, long term models record a one per cent loss.

In the equity linked segments, long only funds reaped the benefits from the market rally (+10.3 per cent). Variable bias managers, who remain defensively positioned, posted a 0.6 per cent gain.

Event driven funds also profited from the positive equity market momentum. Spreads on pending cash deals tightened, helping risk arbitrage managers generate a 1.0 per cent monthly return. Specials situations, which have a higher equity sensitivity due to their longer term holding horizon gained 4.1 per cent.

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