The Lyxor Global Macro index outperformed during the first week of March, up 1.3 per cent.
More generally, it was a strong start to the month for hedge funds, according to Lyxor’s latest Weekly Brief.
The Lyxor Hedge Fund Index was up 0.8 per cent last week, after having delivered 1 per cent in February. All the strategies ended the week in positive territory, and although Event-Driven lagged somewhat (+0.2 per cent), it remains the best performing strategy year to date.
Lyxor Cross Asset Research writes: “Is alpha back? There has been much discussion recently about the fact that rich valuations across asset classes and exogenous factors such as tax reform and monetary tightening would support alpha. We have ourselves discussed this theme in previous editions of this report. To some extent we see signs of burgeoning alpha. Its contribution to hedge fund returns remains modest year to date but appears to be on an upward trend over the past twelve months. Over the last week, hedge fund returns outpaced both equity and bond returns. Going forward, we believe the factors discussed above will translate into a higher contribution from alpha to hedge fund returns.”
