Global Outlook 2024 Report


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AII Barometer: Hitting the wall on FED and the rising dollar

The Lyxor Hedge Fund Index was down -0.7% in September (YTD +1.0%). 5 out of 12 Lyxor Indices ended the month of September in positive territory, led by the Lyxor CTA Long Term Index (+2.4%), the Lyxor Long Short Equity Market Neutral Index (+2.2%) and the Lyxor Fixed Income Arbitrage Index (+2.2%).

All eyes focused on the ECB meeting before turning to the Fed’s by mid-month. The growing economic and monetary policy divergence between the US and Eurozone, as well as with most economies, unleashed firm trends in FX. Implications from a higher USD and a move toward the Fed dots weighted on US assets, in particular in segments sensitive to risk aversion and rising rates (small caps, HY) and in areas most tied to USD (global minings, cyclical commodities, EM markets, the technology sector). Strategies most vulnerable to these assets suffered the most. Strategies focusing on monetary arbitrage as well as the ones benefiting from higher dispersion and volatility outperformed.

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