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Alternative Market Briefing

Most hedge funds strategies except CTAs were down in mid-March: Lyxor

Wednesday, March 25, 2020

Laxman Pai, Opalesque Asia:

Alternative strategies were fairly resilient during the first weeks of the market turmoil but cracks appeared mid-March, said Lyxor in its weekly brief.

According to the report, as of March 16th, most strategies except CTAs were down in a range of -5 to -10% month-to-date: Event Driven was down -10.6% in the first half of March (with Merger Arbitrage down -9.6%), Global Macro was down -7.4% (with Systematic Macro down -2.5%), L/S Equity was down -6.2% (with Market Neutral L/S down -2.3%), L/S Credit was down -4.4%.

On a positive note, CTAs were up +0.1%, with elevated dispersion. Since March 16th, High Yield credit spreads widened further and L/S Credit strategies experienced losses. L/S Equity also suffered losses last week. On a positive note, CTAs were slightly up and some Merger Arbitrage strategies managed to post positive returns.

"This week we focus on L/S Equity which is one of the strategies where we observe the highest dispersion in normal times. During the first half of March (up to March 16th), our Directional L/S Peer Group was down -8.1%," Lyxor said.

The best performing strategies were up in +10% while the worst performing were down -30% / -40%. L/S Equity strategies weathered the first part of the market sell off quite well.

Until March 11th, negative beta for the most directional managers was offset by strong alpha driven by some favorable sector and factor exposure. The short book was also efficient. However, ......................

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