Lyxor: Hedge Fund Index Falls -0.2% For Second Straight Week As Global Macro Stumbles

Jun 12 2017 | 5:49pm ET

Hedge funds slipped again last week as global macro funds underperformed, according to new data from Lyxor Asset Management, although the company’s CTA Index rebounded from recent losses. 

The Lyxor Hedge Fund Index fell -0.2% for the week through June 6, 2017, the same amount it lost in the preceding seven-day period. The measure is now up +0.4% for the year to date. 

Global macro funds were under the most pressure during the week as German Bund yields continued to fall ahead and a stronger euro weighed moderately on equities, Lyxor said. The company’s Global Macro Index is now down -2.6% YTD.

Event Driven funds extended the segment’s steady progress so far this year, gaining +0.3% to sit +5.2% YTD, the best of any of Lyxor’s substrategies. The company’s Long/Short Equity and Fixed Income indices both gained +0.2% and are up +2/4% and +2.9%, respectively so far in 2017.

“Fixed Income strategies are delivering a solid start to the year compared to their benchmarks,” observed Lyxor senior strategist Philippe Ferreira in the research note.

“Their short duration positioning and long stance on credit paid off in Q4-16 as bond yields rose and credit spreads tightened. Over the last three months, the fall in sovereign yields has nonetheless dented the lead of active funds compared to their benchmarks. However, the continued fall in credit spreads has been supportive, especially for European 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 31, 2017.

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