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Laxman Pai, Opalesque Asia: Global Macro strategies outperformed in May, on the back of the rebound of EM and Discretionary sub-strategies (+2.4% in May), said Lyxor.
Meanwhile, CTA strategies underperformed (-1.5%) on the back of the rebound in risk assets (including energy) and the rise in bond yields.
Lyxor Peer Groups suggest hedge fund performance was slightly up in May. The rebound in risk assets actually gained momentum in the second half of the month, despite renewed trade tensions between the U.S. and China.
In the space of alternatives, hedge funds were up +0.4% in May, Lyxor stated.
"Our stance remains constructive on Event-Driven and Fixed Income Arbitrage strategies, Neutral on CTA and Global Macro, and defensive on L/S Equity, particularly Market Neutral L/S strategies," it said.
Within Global Macro, Discretionary and Emerging Market (EM) sub-strategies outperformed vs. Systematic strategies. They partially captured the trend reversal in risk assets in Q2-to-date, having maintained or even increased risk in portfolios during the selloff. Their overall stance remains nonetheless defensive.
CTAs underperform in May
On a negative note, CTAs underperformed in May due to their defensive positioning which helped protect performance during the selloff in February/ March.
CTAs were down -1.5% in May as the rise in bond yields and the steepening of yield curves across developed markets was a headwind. CTA strategies trading commoditie...................... To view our full article Click here
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