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Laxman Pai, Opalesque Asia: In the space of alternative strategies, Lyxor research points to a solid performance of Event-Driven in April. Special Situations and Merger Arbitrage outperformed, up +3.8% and +2.7% month-to-date (as of April 21st), respectively.
Event-Driven strategies also outperformed in the last week of March, pointing to solid returns since the market bottomed.
"Market Neutral L/S is the only strategy in negative territory month-to-date (-0.9%), a strategy on which we maintain an Underweight stance," Lyxor said in its report.
CTAs also underperformed (+0.7%) but considering their resiliency during the turmoil in February and March, it remains the best performing strategy year-to-date.
Meanwhile, Global Macro strategies also lag behind so far this month, as multi-asset players cut long equity positions close to the bottom in March. Global Macro strategies underperformed, up +0.4% so far in April, on the back of the difficulties faced by Discretionary Macro strategies (+0.1%).
"Although Special Situations strategies are quite heterogeneous, we note that on aggregate, their equity market beta stands in a range of 10 to 15% and remained stable during the turmoil," the report said. This contributes to explaining why the strategy partially captured the market rebound lately.
In terms of exposure to risk factors, it appears the strategy has been outright short quality stocks (which was costly in March) and slightly long low beta/ non-cyclic...................... To view our full article Click here
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