The market rebound since 23 March has fuelled strategies with a higher market beta such as Special Situations (+3.8 per cent) and Directional L/S (+1.7 per cent), according to the latest Weekly Brief from Lyxor’s Cross Asset Research team. The former has nonetheless cut its market beta during the selloff and thus lagged the recovery in risk assets.
Market Neutral L/S is the only strategy in negative territory month-to-date (-0.9 per cent), a strategy on which we maintain an Underweight stance. CTAs also underperformed (+0.7 per cent) but considering their resiliency during the turmoil in February and March, it remains the best performing strategy year-to-date.
Global Macro strategies also lag behind so far this month, as multi asset players cut long equity positions close to the bottom in March.
Discretionary strategies (+0.1 per cent month-to-date) underperformed Systematic (+0.3 per cent) and EM ones (+1.2 per cent) as short fixed income positions remained a source of losses.
