Lyxor: Hedge Fund Index Flat As Oil Drop Punishes Macro Managers

May 9 2017 | 8:26pm ET

Hedge funds treaded water last week as gains by CTAs were not enough to outweigh underperformance among macro managers hammered by the steep drop in oil prices, according to new data from Lyxor Asset Management.

The company’s Lyxor Hedge Fund Index was flat for the week through May 2, Lyxor said in its latest Weekly Brief, leaving the measure up +0.9% for the year to date. Macro managers led to the downside, with Lyxor’s Global Macro Index falling 0.5% for the week, while CTAs led the gainers with a +0.7% gain on the strength of long positions in fixed income and U.S. and Japanese equity markets. The two sub-indexes are now down -1% and -1.5% YTD, respectively.  

Overall, Global Macro funds appear to be more vulnerable than CTAs should the trend continues, Lyxor said in the note.

Meanwhile, L/S Equity and Event Driven funds extended recent upward trends, gaining +0.5% and +0.1%, respectively. Merger arbitrage has staged a healthy rebound so far in Q2, while defensive plays were the most rewarding for U.S. focused funds with positions in the technology and healthcare sectors particularly contributing to performance. 

“Going forward, we continue to prefer bottom-up strategies (L/S Equity, Event Driven) compared to top down strategies (CTAs, Global Macro),” said Lyxor senior strategist Philippe Ferreira in the research note. “The latter is still positioned for higher commodity prices (energy, metals) and a stronger USD, which appears less straightforward as the market reevaluates the optimism that followed the U.S. election.”

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 $10.3 billion of assets under management and replicating $220 billion in AUM as of March 31, 2017.

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