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Alternative Market Briefing

Global Macro hedge funds up +5.3% year-to-date but returns show elevated dispersion

Tuesday, July 23, 2019

Laxman Pai, Opalesque Asia:

CTA and Global Macro strategies have so far extended their winning streak in July, Lyxor said in its Weekly Brief.

"While we recently talked about the reasons for the outperformance of CTAs (+9.3% year-to-date), the performance of Global Macro strategies is a bit more ambiguous, due to the elevated dispersion between strategies," pointed out Lyxor.

Global Macro strategies are up +5.3% year-to-date according to the Lyxor Global Macro Peer group, which pools together 40 UCITS strategies.

A significant part of such performance has been delivered by Emerging Markets (EM) strategies (+6.9%), while Discretionary and Systematic ones lagged (+4.6% and +3.5% respectively).

"This was hopefully in line with our expectations. Our stance on EM-Macro has been Overweight for several months, while were more defensive on Discretionary (at Neutral) and Systematic strategies (at Underweight)," it said.

"Going forward, we upgrade our stance on Global Macro strategies from Underweight to Neutral. We particularly upgrade Systematic Macro strategies to Neutral on the back of the Fed managing to lift growth expectations," Lyxor said.

"We believe the Fed has both the room and the willingness to act and push forward our expectation for the first rate cut to the end-July FOMC meeting. Meanwhile our stance on EM sovereign bonds stays constructive and we upgraded U.S. equities to Overweight. Our scenario assumes that the trade truce will be extende......................

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