Lyxor: Hedge Fund Index Flat As CTAs Slip

Jun 20 2017 | 7:03pm ET

Hedge funds were flat last week as gained by macro and fixed income managers were broadly outweighed by losses in CTA strategies, according to new research from Lyxor Asset Management.

The company’s Lyxor Hedge Fund Index was unchanged for the week through June 13, Lyxor said in its latest Weekly Brief. For the year to date, Lyxor’s metric is up +0.4%.

Fixed Income managers were supported by the small rise in global sovereign bond yields during the week, with the firm’s Fixed Income Broad Index gaining 0.2%. It’s Global Macro Index, meanwhile, delivered minor gains of +0.1% due to long USD/short EUR positions that offset losses from long equity and commodity positions. The two measures are +3.1% and -2.4%, respectively, for the year to date. 

Long Term CTAs were under the most pressure last week, stung by rising U.S. interest rates. Lyxor’s CTA Broad Index lost 0.7% for the week, although the company noted short-term models were resilient. It is down -2.1% YTD.

Equity funds were fairly resilient amid factor rotation, Lyxor noted, with the L/S Equity Broad Index dipping -0.1% for the period but remaining up +2.3%. 

Leading the table so far this year remains Lyxor’s Event Driven Broad Index, which also fell -0.1% but is up +5.1% YTD. 

“As the equity divergence with U.S. rates continues to widen, the strength of the U.S. economy and the persistence of downward inflationary pressures will take center stage going forward,” observed Lyxor senior strategist Philippe Ferreira in the research note. “Were the Fed to be right in seeing only transitory inflation factors, U.S. bonds could be vulnerable to a correction.” 

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 $12 billion of assets under management and replicating $220 billion in AUM as of June 13, 2017.

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