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Alternative Market Briefing

Trend reversals hit hedge funds as CTAs and global macro slump

Wednesday, April 26, 2017

Komfie Manalo, Opalesque Asia:

The past week has been adverse to hedge fund performance, particularly for global macro and CTA strategies, Lyxor Asset Management said in its Weekly Briefing. Lyxor pointed out that the announcement of general elections in the UK translated into trend reversals across UK assets.

Philippe Ferreira, Lyxor AM senior analyst, said that the Lyxor hedge fund index was down 1.1% from 11 April to 18 April 2017 on the back of the negative performance of CTA and global macro strategies.

He commented, "Higher risk aversion in Europe ahead of the French presidential election also played a role. Both strategies maintain sizeable long European equity exposures while some macro managers are also short European fixed income. Yet, the likelihood that Macron will win with a comfortable margin at the runoff on 7 May is supportive for both strategies."

Meanwhile, merger arbitrage and event driven strategies outperformed during week. The proposed merger between Abbott Laboratories and Alere is back on track at a renegotiated price, which fueled Alere's shares by more than 15% during the period under review.

Emerging market active funds outperform their benchmarks

Meanwhile, Ferreira added that the recent macro releases outpaced expectations in China while emerging market (EM) assets saw strong foreign inflows in Q1. Overseas flows have probably been fueled by domestic factors, such as str......................

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