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Hedge funds’ ‘priced in’ confidence is paying off, says Lyxor’s Ferreira

The European Central Bank’s (ECB) measures were reasonably above, or at least in line with, hedge funds’ expectations, says Philippe Ferreira, head of research at Lyxor’s Managed Account Platform.

In particular, those fostering credit with more credible hints at ABS purchases were well received and should benefit periphery trades. The other consequence was that long European equity and short EUR/USD positions contributed to the positive performance of the week.
 
The start of the year has been slightly disappointing with regard to optimism prevailing at the end of 2013. Nevertheless evidences of a US Q2 snapback, continued progresses in EU and signs of stabilisation in China altogether contributed to restore confidence. In this environment the median equity beta of hedge fund managers on the platform is back to its highest level, which thus provides proof of renewed confidence.
 
More than 80 per cent of Lyxor’s funds are in positive territory and the Lyxor Hedge fund index posted a performance of +0.6 per cent.
 
At a strategy level long term CTA are the winners this week, up 1.6 per cent. The bulk of their gains come from their equity exposure. L/S equity and global macro also benefited from the rally on equity markets.
 
L/S credit managers ended the week up 0.9 per cent. Managers benefited from further easing pressure on peripherals and good released numbers in China. All in all they keep outperforming their peers year to date, up 5.1 per cent. 

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