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Komfie Manalo, Opalesque Asia: Event driven hedge funds continue their upward climb gaining 5.1% year-to-date supported by the catch-up in financials and in less crowded smaller caps, which offset some losses in healthcare positions. The Lyxor Hedge Fund Index was flat during the period (+0.4% YTD), Lyxor Asset Management said in its Weekly Briefing.
"As the equity divergence with U.S. rates continues to widen, the strength of the U.S. economy and the persistence of downward inflationary pressures will take center stage going forward," Lyxor said. It added, "Were the Fed to be right in seeing only transitory inflation factors, U.S. bonds could be vulnerable to a correction. Historically, when U.S. yields spiked, the German Bund yield followed with an average 0.6 beta (a 0.7 beta when the European economic pulse outpaced that in the U.S.). The below stress-test table reflects current Lyxor strategies' sensitivity to a +100bps spike in global yields, all else equal."
Fixed income managers outperformed during the week and is up 0.2% (+ 3.1% YTD), supported by the small rise in global sovereign bond yields. Global macro delivered mild gains thanks to their long USD. Short EUR and long emerging markets FX paid off, offsetting losses stemming from long equities and commodities.
CTAs lagged with losses concentrating in their long U.S. and Canadian bonds, in their long CAD, as well as in their short soft commodities. The commodity portfolio was painful due to short soy...................... To view our full article Click here
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