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Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing.
The Lyxor Hedge Fund Index was slightly down 0.3% (+1.2% YTD), with disparate returns across strategies. Lower oil prices and a weaker dollar contributed to the underperformance of macro funds. However, they limited damages after building-up substantial long EM FX positions prior to the FOMC (as a result, their net overall USD exposure dropped by a third). Merger funds also lagged during the period due to non-M&A energy positions. Additionally, credit funds' returns eroded on wider energy spreads.
Jean-Baptiste Berthon, senior strategist at Lyxor AM commented, "The strategies most exposed to risk assets benefitted from encouraging global growth and hope from Trump's reflation coupled with limited U.S. rates and dollar headwinds for now. A large majority of L/S equity funds were up, led by those focusing on EM markets. CTAs' aggressive exposure on equities also paid off."
Long-term CTAs outperformed, supported by their long exposure to equities. Their marginal short positions on U.S. bonds added gains. L/S equity funds delivered strong results as well. Conversely, global macro underperformed due to lower oil prices and a weaker dollar. However, they limited damages after building-up...................... To view our full article Click here
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