In a context where risk assets bottomed on 23 March, most alternative strategies rebounded in recent weeks, according to the latest Weekly Brief from Lyxor’s Cross Asset Research Team.Global Macro and Event-Driven strategies benefitted the most from the fall in risk aversion, while CTAs underperformed due to their defensive positioning.
Within the Global Macro space, Discretionary and EM sub strategies rebounded the most, having suffered more during the selloff. Within the Event-Driven space, both Merger Arbitrage and Special Situations did well.
Merger Arbitrage has started to rebound since mid-March, earlier than others, when financial stress lifted deal spreads to very high levels. This was probably due to increases in margin requirements and forced unwinding of highly levered managers and among quantitatively-driven funds, which, in our view represented an attractive opportunity.
