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Komfie Manalo, Opalesque Asia:

Global macro hedge funds suffered losses due to the sharp fall in oil prices and the drop in U.S. and U.K. Treasury yields, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Global Macro Index fell -1.0% from 13 June to 20 June (-3.4% YTD).

The Lyxor Hedge Fund index also slightly fell during the week, dropping -0.3% (-0.1% YTD). "Global macro suffered from their commodity bucket as energy prices continued to plunge," Lyxor Cross Asset Research said. It added, "They have maintained long positions on energy commodities for some time, while being short Treasuries and Gilts in anticipation of a rise in bond yields."

Meanwhile, CTAs outperformed during the period for similar reasons but an opposite positioning: Short energy and long fixed income. Long-term CTAs was supported by long positions on European and Japanese equities and shorts on agriculturals and energy. Lower 10-year Treasury yields hit short-term models.

On another positive note, event-driven funds extended gains. Merger arbitrage funds were fuelled by the completion of the $30 billion Actelion vs. Johnson & Johnson cash deal. Alere vs. Abbott Laboratories was another winning trade for merger funds. On the special situations side, managers benefitted from positions on both consumer cyclical and non-cyclical sectors. The top contributor was Whole Foods Market, following Amazon's agreement to acquire the supermarket chain. Baxter International was another gainer......................

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