Lyxor: Hedge Fund Index Gains 0.5% On CTA, Macro Manager Rebounds

Jan 31 2017 | 12:43am ET

Hedge funds enjoyed a positive rebound last week as CTAs and Macro managers rebounded from weak starts to the new year and the equity markets cheered the initial moves of President Trump, according to the latest Weekly Brief from Lyxor Asset Management. 

Lyxor’s closely watched Hedge Fund Index gained 0.5% for the week through January 24, the company said, with CTAs outperforming with a 0.9% surge. The measure’s YTD losses narrowed to -0.4%. 

Both CTAs and Macro managers (+0.6%) benefitted from a weaker JPY vs. USD, while CTAs also benefitted from long positions in equities and short duration stance on bonds, Lyxor said. 

Lxyor’s Long/short Equity Broad Index gained 0.3% during the period, while Fixed Income Broad gained 0.6% as arbitrage managers did well in a context where implied volatility has remained elevated since the Republican victory in the U.S. election. The two measures are now -4.2% and +0.7%, respectively, for the year to date. 

Event Driven managers were the biggest losers last week, down -0.2% on poor results from Merger Arbitrage funds. However, they have since recovered due to their exposure to the Johnson & Johnson vs. Actelion mega merger deal, Lyxor said. 

“Corporate tax reform envisioned by the new U.S. administration has been considered as an opportunity for both the technology and the pharma sector,” said Lyxor senior strategist Philippe Ferreira in the research note. “They would benefit from tax breaks on cash repatriation, [and] that could potentially extend the wave of M&A activity in these sectors. Event Driven managers appear to be at the forefront to benefit from it.”

Lyxor’s Weekly Brief aims to identify trends in hedge fund investing while leveraging the proprietary information accessible through the company’s managed account platform.

Lyxor’s Hedge Fund indices are based on the universe of funds available on the platform determined on a monthly basis to be eligible for inclusion. Participating funds represent $8.3 billion of assets under management and replicating $220 billion in AUM as of December 30, 2016.

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