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Komfie Manalo, Opalesque Asia: The Lyxor Hedge Fund Index declined 0.6% as of end 08 March after being
dragged down by CTAs and L/S equity downwards on the back of the short
exposure to commodities. CTAs outperformed when the market was in
risk-off mode, but they have been hurt in March by the rebound in
commodity prices. Their shorts on energy caused losses, despite the fact
that they have reduced the positioning on such contracts lately.
On the positive side, Lyxor AM said the recent momentum of credit and
fixed income arbitrage funds (+0.7% last week) is likely to be continue,
supported by the credit rally. The strategy should also be supported by
the European Central Bank’s (ECB) recent easing measures.
Philippe Ferreira, a senior strategist at Lyxor AM, commented, "As we
approach the end of the first quarter, a rotation in the performance of
hedge fund strategies is starting to shape up. CTAs, which were the
stellar performers during the first two months of 2016, gave back some
gains recently. In parallel, event driven and L/S credit, which suffered
previously, are up month to date."
Lyxor believes that the recent momentum in L/S Credit is likely to be
sustained going forward. Ferreira said that Lyxor has upgraded the
strategy last week on the back of attractive credit spreads and
supportive conditions for alpha generation (higher dispersion of
returns, between and within credit sectors, in the U.S. notably). The
monetary easing measures...................... To view our full article Click here
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