Lyxor: Hedge Fund Index Gains +0.4% As CTAs Rebound

Feb 13 2017 | 5:23pm ET

Hedge funds started February on solid ground, according to Lyxor Asset Management’s latest Weekly Brief, as all five of the company’s substrategies were in the green for the period. 

Lyxor’s widely-followed Hedge Fund Index gained +0.4% for the week through February 7, the company said, bringing the benchmark’s year-to-date tally into positive territory at +0.1%.

In a sharp reversal from recent weeks, Lyxor’s CTA Broad Index was up +0.4%, driven by a stronger dollar versus the euro and higher stock markets on both sides of the Atlantic.  The CTA measure remains down -2.5% for the year so far, however. 

Lyxor’s Event Driven Broad Index, meanwhile, outperformed the group with a +0.5% gain on the strength in special situation funds within technology, consumer non-cyclical and energy sectors. For the year to date, event-driven funds within Lyxor’s universe are up +0.8%.

The firm’s long/short equity measure gained 0l.3% for the period primarily on rising U.S. equity markets, although Lyxor noted that market neutral and variable bias managers are faring much better compared to last year. The firm also observed a reduction in net exposure over the last month, following the recent rise in uncertainty. 

Elsewhere, Lyxor’s Global Macro Index gained 0.4% on the dollar’s moves and lower bond yields in the U.S. As with CTAs, this substrategy is in the red for the year to date, down -0.4%.

“2017 will, in our opinion, remain a challenging year for investors,” said Lyxor senior strategist Philippe Ferreira in the research note. “Political risks loom large in Europe and policy uncertainty is elevated in the U.S. Although we believe that value investing has the potential to regain strength in the coming months, we also believe that the margin of error is significant and such risks need to be diversified.”

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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