The Lyxor Hedge Fund Index was up +0.7% in March. Six out of 12 Lyxor Indices ended the month in positive territory, led by the Lyxor CTA Long Term Index (+3.8%), the Lyxor LS Equity Long Bias Index (+2.4%), and the Lyxor LS Equity Variable Bias Index (+1.1%).
ECB’s purchases started beginning of March, and will crowd investors out of the sovereign market. Signs of distortions already emerged in yield curves. Meanwhile flows toward Eurozone continued to boost risky assets, which were little harmed by the Greek saga. US markets continued to lag with further signs of a cyclical downturn. The substantial dots’ revision at the 18 March FOMC contributed to push back rates hike prospects. Amid signs of accumulating stocks, oil prices weakened on rising odds of a nuclear deal with Iran. The intervention of the Saudi led coalition in Yemen spurred only temporary stress. Funds operating in macro assets – where volatility and trading ideas were the richest – outperformed along the ones benefitting from the continued rally in non-US equities. The sudden jump in M&A deals also favored Merger Arbitrage funds.
