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Alternative Market Briefing

Macro hedge funds up 3.3% in one week on Fed and Brexit pays off

Tuesday, October 18, 2016

Komfie Manalo, Opalesque Asia:

Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the pound positioning was a major boost, which was further helped by their short stance on the Euro and U.S. bonds.

Lyxor said that macro managers continued to ride the wave of the global widening of long-dated yields and the stronger USD, especially against the GBP. It added that the Lyxor Hedge Fund Index was up 0.8% (-1.0% YTD), during the same period.

Jean-Baptiste Berthon, senior strategist at Lyxor AM, commented, "Nervousness rose last week as investors continued to prepare for a December Fed hike - increasingly likely - and ahead of the U.S. elections. U.S. rates, the dollar and breakevens progressed, while equities dropped slightly. Meanwhile, markets are waiting for a confirmation that the ECB, BoJ and BoE actually shifted to a less dovish stance and pushed back NIRP (negative interest rate policy). In that context, trading volumes remained low, and rotations in and out of rate sensitive sectors were frequent."

CTAs fell on long bond positions

The report added that on the flipside, CTAs underperformed on their long bond positions. CTAs were hit by their long stance on fixed income and the downturn in equity markets. Sector rotations hit L/S equity marke......................

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