Komfie Manalo, Opalesque Asia: Hedge funds were hit by market volatility last week, with the Lyxor Hedge Fund Index down 2% as of end Feb. 9, while the MSCI World was down 3.3%, and high-yield spreads widened by 40 and 60 bps in Europe and the U.S., respectively.
The hedge fund sector has been pretty resilient in such adverse market conditions as renewed selling pressure has translated into sharp losses for risk assets lately, with the European banking sector at the forefront of the selloff, reported Lyxor Asset Management.
The report added that CTAs remained in positive territory, bringing the YTD performance to 4.1% (+0.9% month-to-date). Most systematic funds ended in the black, benefiting from long JPY against USD, long positions on fixed income and short trades on energy.
Philippe Ferreira, a senior strategist at Lyxor AM, commented, "As discussed in previous editions of this report, they have maintained a defensive allocation that proved highly supportive. There was nonetheless significant dispersion in the returns of global macro funds, with the most directional and the most exposed to European equities underperforming. The performance of the remaining hedge fund strategies (L/S equity, event driven and fixed income & credit strategies) was tightly packed at -2%."
He explained that macro managers underperformed as a result of being dragged down by long positions on USD vs other currencies, long trades...................... To view our full article Click here
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