Lyxor: Hedge Fund Index Gains 0.5% in March As CTAs Slip Again

Apr 3 2017 | 5:30pm ET

Hedge funds eked out a minor gain last week as both bonds and stocks did well, according to Lyxor Asset Management’s Weekly Brief, although substrategy performance was mixed and CTAs continued to slip.

Lyxor’s Hedge Fund Index gained +0.2% for the week through March 28, the company said. With only two trading days left in the month when the period closed, the measure was up 0.5% for March and stands up +1.1% for the year to date. Event-Driven funds were the standout, gaining +0.4% on the strength of special situation funds and activists, and Lyxor’s Event-Driven Broad index leads the substrategy pack with a +2.1% YTD gain. Meanwhile, although the Lyxor L/S Equity Broad Index gained only +0.2% for the week, market neutral L/S equity funds extended their recovery and have pushed Lyxor’s L/S equity market neutral index up +3.3% YTD after having delivered disappointing returns last year.

Macro funds, meanwhile, gained +0.3% as losses suffered on Japanese equities were offset by long positions on energy prices. The Lyxor Global Macro Index gained 0.6% in March and stands up the same for the year so far. 

“From our perspective, Event-Driven remains a highly attractive strategy going forward,” said Lyxor senior strategist Philippe Ferreira in the note. “Exposures are balanced between cyclical and defensive sectors, although there has been a tilt toward adding to cyclicals lately, thus preventing any major reversal in market optimism from causing losses on Event-Driven portfolios. 

“CEO confidence is at a decade high and this is likely to translate into stronger corporate activity, [and] several elements related to the new U.S. administration may also prove supportive,” he added. Fiscal reform, if implemented in the coming months, should be supportive for sectors such as telecommunications or consumer staples (which currently pay a higher effective tax rate than other sectors) that tend to rank high in Event-Driven portfolios, Lyxor said. 

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.

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