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Alternative Market Briefing

Hedge funds recover from losses as central banks give markets a respite

Tuesday, September 27, 2016

Komfie Manalo, Opalesque Asia:

The Lyxor Hedge Fund index was up 0.4% from the week ending September 20 (-2.4% YTD), supported by the willingness of central banks to remain accommodative, Lyxor Asset Management said in its weekly briefing.

It added that CTAs bounced back (+2.3%) as sovereign bond yields fell across the board. Additionally, L/S equity managers outperformed as they were up 0.8% last week. European L/S equity funds outperformed as defensive styles such as momentum, quality and low beta outperformed aggressive styles such as value and size in Europe. After several years of underperformance of value stocks, many L/S managers have favored defensive biases and do well when quality and momentum stocks perform well.

Philippe Ferreira, senior strategist at Lyxor AM, commented, "The Fed gave its verdict last week and decided to stay put on the back of inflation remaining below its target. Financial markets found the message to be reassuring. They recovered from recent losses related to fears that it may hike as early as this month. Fed fund futures markets now give a 58% probability for a rate hike at the mid-December FOMC meeting. The market is now prepared for the next interest rate move, provided that U.S. data releases do not deteriorate."

Most directional strategies within L/S equity and event driven fared well

Ferreira also noted that most directional strategies within L/S equity and event d......................

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