Lyxor Reiterates Overweight Stance On Event-Driven; Upgrades Macro

Jun 27 2017 | 12:02am ET

Hedge funds lost ground last week as strength in CTAs was tempered by a decline in energy prices that impacted macro funds, according to new data from Lyxor Asset Management.

The Lyxor Hedge Fund Index fell -0.3% for the week through June 13, 2017, Lyxor said in its latest Weekly Brief. The measure now stands barely positive for the year to date, at +0.1%.

The company’s CTA Broad Index outperformed, gaining +0.9% on support from long positions on European and Japanese equities and short positions on agriculturals and energy, Lyxor said. Lower 10Y Treasury yields hit short-term models. Global Macro, on the other hand, fell -1% as energy prices continued to plunge. 

L/S Equity and Event Driven managers recorded positive returns of +0.2% and +0.4%, respectively, for the period. Leading the pack so far this year is Event Driven, up +5.5%.

The first half of the year has seen a sharp divergence in returns between Event Driven and Global Macro strategies, Lyxor observed in the research note. “If history is any guide, the underperformance of Global Macro funds so far in 2017 should not be seen as a reason to alleviate them in a portfolio,” said Lyxor senior strategist Philippe Ferreira. “Actually, in the second half of last year, Macro funds experienced a sharp rebound, while the performance of Event-Driven funds eased.

“As a great U.S. novelist once said, ‘history doesn’t repeat itself, but it does rhyme’,” he added. “In that context, we maintain the overweight stance on Event-Driven strategies [and] upgrade Macro funds to overweight. Within Macro funds, we have a preference for EM and diversified strategies compared to fixed income/ FX specialists.” 

“We also advise to fund the increased exposure to Macro funds via a lower weighting of L/S Equity Market Neutral funds, which continue to struggle with sector rotations.”

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 March 31, 2017.

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