•  
• Tweet
•  
•        Print
•  
•         Track Keywords
•  
• 

Komfie Manalo, Opalesque Asia:

Hedge funds slightly faltered from 14 to 21 March as trend reversals have negative implications for some strategies. The Lyxor Hedge Fund Index was down -0.3% during the week (+0.9% YTD), while the Lyxor CTA broad index underperformed and lost 1.6% (-0.7% YTD). Market neutral L/S equity funds were also in the red.

Meanwhile, global macro, L/S equity and event driven strategies were resilient. Fixed income arbitrage and L/S credit outperformed overall (+0.4%), though some managers ended the week in the red as well. Lyxor Asset Management Senior Strategist Philippe Ferreira said that the firm maintains a high degree of conviction on the ability of fixed income arbitrage and non directional L/S credit strategies to deliver attractive returns in 2017.

Ferreira commented, "Markets experienced trend reversals as the split within Republicans puts at risk the reform momentum in the U.S. In the UK, the BoE changed course while inflation rises above target. The reversal was felt across asset classes but was concentrated in the US and the UK. It impacted equities and HY credit negatively while sovereign yields fell. Yet, the depreciation of the US dollar against G10 and EM currencies had wider implications. It translated into an underperformance of Japanese stocks compared to European stocks."

Lyxor's report added that fixed income managers outperformed as some directional managers were rewarde......................

To view our full article Click here