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Alternative Market Briefing

Rebound in global risk assets fails to push hedge funds up last week

Tuesday, May 30, 2017

Komfie Manalo, Opalesque Asia:

A rebound in global risk assets buoyed by signs of economic growth, steady U.S. yields and a calm dollar failed to push hedge funds up from the week covering 16 May to 23. The Lyxor Hedge Fund Index was down -0.8% during the period (+0.8% YTD), with global macro and CTAs underperforming.

In its latest Weekly Briefing, Lyxor Asset Management said that within CTAs, long allocations on equities and short on energy were detrimental to performance. Short-term models fared better as they drastically slashed their short EUR. Dispersion in returns was significant across global macro funds.

Lyxor AM said, "Macro players took another beating this week for distinct reasons. Main CTAs' losses were in short energy, long BRL positions, and in long equity futures. The bulk of global macro funds' losses came from long U.S. and for some in long European bonds. By contrast, most micro equity and credit players proved more resilient. Among them market neutral funds were an exception. More concentrated, longer time horizon, and value focused quants recently underperformed. Losses are slow moving and managers do not see any signs of systemic deleveraging."

The report added that managers having a tilt toward Europe - through short EUR and duration and long equities especially - underperformed. By contrast, micro equity and credit players proved more resilient. Market neutral were an exception, which are......................

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