Thursday, 30 March 2017
Last updated 4 hours ago
Mar 20 2017 | 10:21pm ET
Hedge funds largely took last week’s interest rate hike in the United States in stride, according to Lyxor Asset Management’s most recent Weekly Brief, and are now turning their sights onto the upcoming European elections.
Lyxor’s Hedge Fund index was down -0.3% for the week ended March 14, with fairly disparate returns across strategies, and is now up 1.2% for the year to date. CTAs outperformed, up 0.3% supported by long exposure to equities and marginal short positions on U.S. bonds, and are now up 0.9% so far this year.
Conversely, the firm’s Global Macro Index was down 0.6% on lower oil prices and a weaker dollar. However, they limited damages after building-up substantial long EM FX positions prior to the FOMC meeting, Lyxor said.
Lyxor's Event-Driven measure lost 0.3% on the week but remains the leading strategy for the year to date, up 2%. Meanwhile, the company’s L/S Equity Broad Index was flat despite generally buoyant equity markets over the period. It remains up 1.2% YTD.
The strategies most exposed to risk assets benefitted from encouraging global growth, hopes from Trump’s reflation, with limited U.S. rates and dollar headwinds for now, Lyxor added. A large majority of L/S Equity funds were up, led by those focusing on EM markets.
“Hedge fund managers are not expecting a disruptive change in the French political chessboard (and hence in Europe),” said Lyxor senior strategist Philippe Ferreira in the research note. “They are keeping most of their long exposures. Meanwhile, they maintain hedges through lower exposure to financials, indices shorts, Euro shorts, and/or a relative preference for Northern European assets.
“In other words, while keeping a tail-risk protection, most managers remain positioned for a valuation catch-up once the French (and Italian) political uncertainty fades,” he added.
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 $9.6 billion of assets under management and replicating $220 billion in AUM as of February 28, 2017.