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Matthias Knab, Opalesque: The Lyxor Hedge Fund Index was slightly down -0.2% last
week due to the underperformance of CTA and Global
Macro managers.
On a positive note, Event Driven funds were up 0.3%.
Their long exposure to Actelion in the midst of its
acquisition by Johnson & Johnson was particularly
rewarding and compensated for the losses on Rite Aid.
On the flip side, long term CTAs and Global Macro
funds suffered from both the USD weakening and the
fall in commodity prices. In particular, their short
positions on EUR vs. USD and their long exposure to
energy were detrimental for both strategies. However,
many Global Marco funds found some relief from their
long U.S. bonds positions.
Bond yields continued to edge higher over the recent weeks on the back of stronger
economic data and higher inflationary pressures. The rise in bond yields was more
pronounced in Europe than in the U.S. across the curve, which contributed to the
appreciation of the Euro vs. USD in January. This environment has proved supportive for
risk assets in the U.S. and emerging markets.
Global Macro and CTA managers experienced negative returns in January
With regards to hedge fund performance, Global Macro and CTA managers experienced
negative returns in January due to long USD positions, especially versus the Euro.
Meanwhile, Fixed Income Arbitrage, L/S Credit, and Event-Driven managers outperformed
both last week and in January overall. In the previous edition of this repor...................... To view our full article Click here
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