Lyxor: Hedge Fund Index Dips -0.2% Amid Global Macro Dispersion

Jun 6 2017 | 7:06pm ET

Hedge fund returns were mixed last week as the market’s upturn boosted CTAs and equity managers at the expense of global macro and fixed-income strategies, according to new research from Lyxor Asset Management.

The company’s Lyxor Hedge Fund Index lost -0.2% for the week through May 30, Lyxor said in its latest Weekly Brief. For the month of May, the measure lost 0.3% and sits up +0.6% for the year to date.

The company’s Global Macro Index underperformed, losing -0.9% amid wide return dispersion across managers impacted primarily from the fall in 10-year Bund yields, Lyxor said. On the other hand, CTAs broke a weeks-long losing streak to gain +1% as they benefitted from long equity positions, cut EUR and GBP shorts and stayed short energy.

Of Lyxor’s five main strategy buckets, Event Driven led in May with a +0.7% gain, while Global Macro was the laggard at -1.3%. These two strategies also bookend the group for the year to date, up +4.9% and down -1.9%, respectively.

Global risk appetite remained steady heading into June, despite continued investor concerns over asset price valuation and political risks, Lyxor noted. Meanwhile, sovereign bond yields remain stubbornly low and yield curves flattened, particularly in the U.S., raising questions over investors’ confidence on the pace of economic activity going forward. 

“In terms of positioning dynamics, it is striking to note the extent to which CTAs and Global Macro now differ with regards to GBP-USD exposure,” said Lyxor senior strategist Philippe Ferreira in the note. “Since Theresa May has called a snap general election mid-April, CTAs have rushed to the exit, trimming net short positions on the GBP vs. USD to virtually zero. The strategy suffered losses in April, as the election announcement translated into trend reversals across UK assets."

"While the recent performance of Macro funds is uninspiring, it is worth remembering that last year they were in a similar configuration,” he added. “Holding tight on long USD positions which were not rewarding in H1, but were strong contributors to performance in H2-16. We currently maintain a neutral stance on the strategy and have a preference for diversified/multi asset managers.”

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 $11 billion of assets under management and replicating $220 billion in AUM as of May 30, 2017.

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