|
Komfie Manalo, Opalesque Asia: Hedge funds have started Q2 on a negative note, with the Lyxor Hedge
Fund Index down -0.7% as of end April 5 (-2.5% YTD), reported Lyxor Asset Management. But
as usual in this adverse market environment, CTAs were able to deliver
positive returns, with long term systems outperforming short term ones.
Global macro suffered on the back of long exposures to European equities
and short JPY vs USD. Event driven suffered on the back of the Pfizer/
Allergan deal break, the report said and added that the L/S credit funds
were supported by the fact that high yield was resilient in front of the
deterioration of market conditions.
Philippe Ferreira, senior cross-asset strategist at Lyxor AM, said, "As
we approach the start of the Q1 earnings season in the U.S., financial
markets experienced renewed pressures. During the period under review,
the MSCI world was down 1%, with EMU and Japanese equities
underperforming U.S. equities. Commodities were also down but
interestingly this had limited implications on U.S. high yield and
emerging markets."
CTAs outperform again
CTAs again outperformed, driven by the performance of the fixed income,
energy and FX clusters. The CTA Broad Index was 1.1% during the period
(+2.2% YTD). Long positions on the JPY vs USD were also rewarding as a
result of the continued depreciation of the USD. The minutes of the
15-16 March FOMC meetin...................... To view our full article Click here
|
|