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Laxman Pai, Opalesque Asia:

Risk assets experienced a strong rebound in recent weeks, which benefitted Directional L/S (+3.8%) and Special Situation (+2.7%) strategies on a month-to-date basis, said Lyxor.

CTAs also posted solid returns during the same period, up +3.1%. On a negative note, Market Neutral L/S keep underperforming and was only up +0.6%.

"In recent months, Market Neutral L/S strategies underperformed other hedge fund strategies, in a context where risk assets rallied following the Pfizer vaccine announcement in November 2020. While the strategy is not designed to capture the equity market beta, the alpha contribution has declined since Q4-2020. Our stance on the strategy remains Underweight on the back of its exposure to the Momentum risk factor, which appears poorly suited for the current environment," Lyxor said in its briefing.

On a year-to-date basis, Merger Arbitrage remains the best performing strategy (+2.4%) in a context where SPACs experienced a sharp rebound (+17.9% for the IPOX SPAC Index year-to-date).

Global Macro strategies underperformed so far year-to date (+0.8%) as EM-focused Macro strategies were virtually flat (+0.2%) and Systematic Macro returns were minimal (+0.5%).

Momentum correlation to value stocks is deeply negative

The correlation of Momentum returns with defensive risk factors such as Quality and Anti-Beta remains quite elevated, which suggests that Momentum remains a defensive risk factor at presen......................

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