The Lyxor Hedge Fund Index was up +1.4% in January. 7 out of 12 Lyxor Indices ended the month in positive territory, led by the Lyxor CTA Long Term Index (+5.6%), the Lyxor Fixed Income Arbitrage Index (+4.4%), the Lyxor Global Macro Index (+2.7%), the Lyxor L/S Equity Variable Bias Index (+2.2%).
Market activity was limited ahead of the ECB meeting, the key catalyst in January, and positioning remained under stressed. ECB didn’t disappoint. It announced a large open-ended QE program, amounting to EUR60 billion per month. It was warmly welcome by the Street, with cautious odds of success being priced in. Macro assets (Euro, periphery trades) took the lead, followed by micro assets (Equity & Credit) more selectively. A dovish wind blew elsewhere too, adding further support to world reflation assets. Macro and momentum oriented funds benefitted the most from a continuation of the trades playing out since the end of last year: the new oil regime, disinflationary trends and reflation efforts. The ECB move also benefitted the European L/S Equity funds, well represented in the Equity Variable space.
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