Hedge fund performance was slightly negative last week (19-26 March) on the back of underperformance from L/S Equity and Global Macro strategies (circa -0.5 per cent), but most strategies are still in positive territory month to date, according to the latest Weekly Brief from Lyxor’s Cross Asset Research team.
Discretionary Global Macro strategies recorded the worst performance (-0.7 per cent) in a context where bond yields fell significantly in the US and in Europe following the March 20th FOMC meeting. The Fed surprised market participants by announcing the end of the balance sheet runoff as soon as September 2019. Equity markets were slightly down during the period under review on the back of concerns regarding manufacturing activity in Germany.
On a positive note, CTAs outperformed last week (+1.2 per cent). The strategy benefitted from the fall in bond yields thanks to their very long fixed income positioning.
