Lyxor: Hedge Fund Index Gains 0.2% On CTA Rebound

May 15 2017 | 5:50pm ET

Hedge funds rose last week on strength among CTAs and event-driven managers, according to new data from Lyxor Asset Management, tempered by underperformance among long/short managers.

The company’s Lyxor Hedge Fund Indes gained 0.2% for the week through May 9, Lyxor said in its latest Weekly Brief, bringing the measure back to +1.1% for the year to date. 

CTAs, which have struggled for the past several weeks, rose on the back of supportive risk appetite conditions. Lyxor’s CTA Broad Index gained 0.6%, narrowing its YTD loss to -0.9%, while its Event-Driven Broad Index extended its winning streak by another +0.5% as merger arbitrage continued to deliver solid returns. Lyxor’s Event Driven index is now up 4.9% for the year so far. 

Meanwhile, Global Macro gained +0.4% on USD strength and is now -0.6% YTD.

L/S Equity was the lone losing segment for the period, as both variable biased and market neutral funds ended the week in negative territory. Lyxor’s L/S Equity Broad Index lost 0.3%, pulling its YTD gain down to a flat +2%.

The CTA strategy maintains an elevated beta and has outperformed for the second week in a row, noted Lyxor in the research note. In parallel, it is important to note the sizable returns delivered by Event-Driven funds, which have outperformed both a on a quarter-to-date (+2.6%) and year-to-date basis (+4.9%).

“Recent Event-Driven developments are in line with our expectations,” said Lyxor senior strategist Philippe Ferreira. "As such, we reiterate our overweight stance on the strategy."

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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