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Alternative Market Briefing

Hedge funds flat as global macro outperforms on U.S. dollar upswing

Tuesday, September 06, 2016

Komfie Manalo, Opalesque Asia:

Hedge funds were mostly flat from the week as of end Aug. 30, with the Lyxor Hedge Fund Index ending the week at 0.0% (-2.0 YTD). Global macro managers outperformed and were up 0.9%, lifted by the upswings in the U.S. dollar, while the Fed stance turned more hawkish. For some managers, long exposures to European equities were particularly rewarding.

In its Weekly Briefing, Lyxor Asset Management said that CTAs underperformed, down 1.3%. As mentioned, macro managers stood out as the US dollar firmed but long term CTAs were hurt by their sizeable exposure to fixed income as government bond yields picked up. Short allocation on USD was also detrimental. Short term models fared better. The other hedge fund strategies ended the week flat.

Philippe Ferreira, senior strategist at Lyxor AM, said, "Over the recent weeks, the Federal Reserve has signaled its willingness to move ahead with a second rate hike. Such a move would follow the December 2015 decision to raise policy rates. Statements from Yellen and Fisher left opened the possibility of a rate hike as soon as September 21st, when the FOMC will meet next."

He added, "However, the decision is not straightforward considering the disappointing U.S. GDP growth figures in H1-16 and the associated falling labor productivity. Financial markets remain somewhat unconvinced but at the same time they cannot ignore the Fed guidance. As a result......................

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