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L/S Equity strategies remain under pressure in November

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The ongoing sell-off since the beginning of October has proved difficult to navigate for hedge funds, though there were substantial divergences across strategies, last week, according to the latest Weekly Brief from Lyxor’s Cross Asset Research team.

Lyxor writes: “L/S Equity and Event-Driven strategies underperformed due to their elevated market beta. L/S Equity strategies also suffered due to a rotation in risk factors, which saw growth/momentum stocks underperform value and low beta stocks. Within Event-Driven, Special Situations strategies were particularly hit.”
 
“On a more positive note, Merger Arbitrage strategies were highly resilient thanks to their low market beta. Global Macro strategies were also resilient, in several cases due to short positioning on equities.”

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