|
Komfie Manalo, Opalesque Asia: Hedge funds navigated in a volatile environment last week as bond yields spiked across the board and a stronger euro detracted performance. The Lyxor Hedge Fund Index ended the week down -0.4% as at end June 2 (+3.6% YTD), according to Lyxor Asset Management’s Weekly Briefing.
It added that the long/short equity strategy proved resilient, up 0.3% (+5.4% YTD). Last week, European managers outperformed their peers. All funds managed to create significant alpha on both long and short books.
CTAs and global macro managers particularly suffered from a higher Euro against the dollar, down respectively - 1.8% and -1.3%. The fixed income complex was rewarding for global macro managers, whilst the bucket remained flat for CTAs as they sharply reduced their long European bond exposure and short term models turned short.
Philippe Ferreira, Lyxor AM’s head of research, managed account platform, commented, "Last week U.S. Treasury bond and German bund yields spiked, both hitting a new 2015 high. On Thursday, 10-year German rates reached 1.0% before losing ground later in the day. Intraday volatility reached record highs and according to hedge fund managers, the main driver behind the moves in the fixed income markets is the lack of liquidity. Brokers and dealers hold a small and shrinking percentage of the Treasury market."
Lyxor said that overall, the impact of rates move was positive for h...................... To view our full article Click here
|
RSS
