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Alternative Market Briefing

Lyxor Hedge Fund Index basically flat (+0.5% YTD), but funds gear up for ECB action

Wednesday, December 02, 2015

Komfie Manalo, Opalesque Asia:

Macro/CTA strategies have maintained their large net short positions on the EUR/USD in line with expectations that the European Central Bank (ECB) will announce additional easing measures ahead of this week’s meeting, Lyxor Asset Management said in its Weekly Briefing.

The report added that the Lyxor Hedge Fund Index was 0.1% as of Nov. 24 (+0.4% YTD, supported by event driven funds while other strategies were broadly flat. CTAs were slightly down as energy prices reversed and USD depreciated slightly. In November, hedge funds continued to rebound following a positive October which saw hedge funds delivering returns close to 2%. Lyxor AM senior strategist Philippe Ferreira said that, over the recent weeks, ECB officials have been pretty vocal about their intentions and this has contributed to the common currency being dragged close to 1.05 versus USD.

Ferreira said, "However, we believe that creating so many expectations can only give room to disappointment. Unless the ECB announces additional monthly purchases from the current EUR 60bn per month, something that is unlikely at this stage, it is set to miss or just match current market expectations. Technical measures such as the two-tier deposit rate system (implying a higher charge for deposits at the ECB beyond a certain threshold) are less ambitious than present market pricing. As a result, the EURUSD could face upside risks if the ECB disappoints, as we expect."

In terms ......................

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