Mon, Jul 13, 2020
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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, ......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. PE/VC: Disruption from COVID-19 hits ASEAN private equity hard, VCs see much to like in Democrats' $1.5tn Moving Forward Act, US PE firms play the long game as deal-making comes back into focus[more]

    Disruption from COVID-19 hits ASEAN private equity hard Opalesque Industry Update - After a strong 2019, the ASEAN private equity industry has been shaken by the outbreak of the COVID-19 pandemic, reports Preqin. As of September 2019, ASEAN-focused private equity and venture capital asset

  2. Coronavirus crisis: PE industry mulls more realism and longer holding periods[more]

    Laxman Pai, Opalesque Asia: More realism, longer holding periods and an advantage for investors with a long-term focus - these are the main changes that investment managers in the German private equity market expect as a result of the coronavirus crisis. The PE transaction activity is not exp

  3. Multi-strategy hedge funds post double-digit gains, Tiger Global, Coatue score double-digit fund gains in 2020, Lone Pine soars after losses earlier this year, Can Pershing Square's standout year continue?[more]

    Multi-strategy hedge funds post double-digit gains From FT: Large multi-strategy hedge funds have posted double-digit gains for the first half of the year, reversing losses from March, as markets defied the economic downturn brought on by the coronavirus pandemic. Citadel Advisors

  4. Tech: Pandemic boosts digitalisation across the fund industry, The India-China bust up and what it may mean for tech, Machine learning goes global[more]

    Pandemic boosts digitalisation across the fund industry From International Investment: The pandemic has certainly accelerated change and digitalisation in ways that we never imagined, including the funds industry in Luxembourg. Business Continuity Planning and Disaster Recovery Pl

  5. New Launches: Hedge fund Marshall Wace will bet on ESG stocks with new $1bn fund, Stafford Capital raises initial $532m for ninth timberland fund, Nalanda Cap eyes $800m fund, China's Unity Ventures hits first close on US dollar fund[more]

    Hedge fund Marshall Wace will bet on ESG stocks with new $1bn fund From Forbes: Hedge fund Marshall Wace plans to raise $1 billion for a new fund that will invest in stocks with strong environmental, sustainability and governance (ESG) ratings while betting against stocks with poor rating