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Komfie Manalo, Opalesque Asia: Hedge funds lost stream in the first week of May and gave back some gains as the bond market rout took its toll on systematic managers, reported Lyxor Asset Management in its 12 May Weekly Briefing.
The Lyxor hedge Fund index is down 1.2% (+2.3% YTD) as at end May 8 – compared to the S&P500 at -1.2% (0.4% YTD). Long term CTAs underperformed, down 7%, during the same week. The CTA Broad Index was down 6.5% (+0.5% YTD).
Macro managers on the contrary were resilient as their short bund stance paid off. Some macro managers are up 2% during the period under review while others managed to limit losses in the range of 0-1%. The Global Macro index is down 0.3% that week, up 2.8% YTD.
Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented, "In the current market environment, fixed income arbitrage, CB Arb and long/short credit outperformed. Finally, event driven was slightly down, with merger arbitrage outperforming."
The report added, "the bond market selloff that took place in Europe appears to be the result of several factors: rich valuations, a rebound in energy prices lifting inflation expectations and improved growth conditions in the region. However, the extent of the price action appears to be technical and partly related to the fact that ...................... To view our full article Click here
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