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Alternative Market Briefing

Strong economic pulse pushes hedge funds up, L/S equity readies for intense earning season

Tuesday, January 16, 2018

Komfie Manalo, Opalesque Asia:

The strong economic pulse worldwide pushed hedge funds up last week as the Lyxor Hedge Fund Index rose +2% from January 2 - 9 (1.7% YTD), reported Lyxor Asset Management in its Weekly Briefing.

Global macro managers outperformed thanks to their portfolios' allocations to equities and FX. Their constructive views on EU and Japanese stocks fostered their returns, while short EUR and GBP and long MXN and RUB added to their profits.

Receding concerns about the Chinese soft landing, bright economic prints and prospects of a capex revival provided risk assets another leg of rally, while bonds sold off. CTAs were ideally positioned to capture the surge in equities and oil, stated Jean-Baptiste Berthon, senior strategist at Lyxor AM.

CTAs gained 2.1% during the period (+2.0% YTD), boosted by trends in equities and energy. On the negative side, their long EURUSD shaved off part of gains. L/S equity funds performed thanks to their long books. The strong returns from diversified L/S equity made room for alpha generation thanks to their cyclical tilt. The rebound in both momentum and value helped L/S equity neutral funds recover some of their lost ground.

Diversified macro funds shined too, supported by their bullish stance on euro equities and temporary gains from their Euro shorts. Emerging market funds were negatively impacted by their short holdings.

L/S equity readies for intense......................

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