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Alternative Market Briefing

Global macro hedge funds outperform from recent market movements

Tuesday, October 11, 2016

Komfie Manalo, Opalesque Asia:

Global macro managers have largely benefitted from recent market movements as the Lyxor Global Macro Index was 2.1% in the week ending October 4 (-4.8% YTD) and outperformed other strategies. For many macro managers in negative territory year to date, expectations are high that they will be able, in Q4, to offset losses generated earlier in the year, Lyxor Asset Management said in its weekly briefing.

"The stars now seem aligned for macro managers to perform," said Philippe Ferreira, senior strategist at Lyxor AM. He added, "Buoyant economic data in the U.S. has pushed long-dated yields higher, in particular in the U.S. In turn, this is proving supportive for the USD which has appreciated against G7 currencies. This has comforted macro managers. They have been long the USD throughout the year and so far, (and) this was a losing position that contributed to their poor performance."

He added that global macro managers have recently re-engaged in short duration trades in fixed income. These views have proved profitable as markets increasingly price in a Fed rate hike by December.

On top of these bullish views on the U.S. economy, Ferreira said that global macro managers have also benefited from the sharp decline of the GBP/USD. While some managers have reduced their short stance, others have kept their aggressive short views intact and now benefit from it.

Hedge funds gain in fir......................

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