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Komfie Manalo, Opalesque Asia: The rebound in risk appetite was supportive for most strategies, in particular, CTAs, macro and special situations, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Hedge Fund Index jumped 0.8% from 14 November to 21 (+4.5% YTD).
The report added that global macro funds delivered strong returns thanks to their allocations in equities (long), FX (short EURUSD, long EM crosses vs. USD) and commodities (long energy and copper). Special situations outperformed, +2%, on the back of rewarding positions on Sotheby's and Facebook. On the M&A front, the Time Warner/AT&T deal was among the best contributors.
Lyxor AM Senior Strategist Jean-Baptiste Berthon commented, "Risk aversion was rapidly overcome as Tech and Energy stocks rallied. Hedge funds were strongly up, driven by the performance of special situations, CTAs and macro funds. The variable L/S equity funds recorded strong gains due to their long books, while quant funds lagged. Emerging market specialists outperformed in line with the strong performance of the underlying market."
Berthon added that hedge funds' positions are heterogeneous. CTAs neutralized most of their UK exposures. They are marginally short GBP, modestly long equities and bonds. By contrast, macro funds are more decisively short GBP and bonds, but moderately long equity. They expect higher rates, a weaker economy, and some FX-upside for FTSE. While unce...................... To view our full article Click here
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