The past week has been adverse for global macro and CTA hedge fund strategies, according to Lyxor’s latest Weekly Brief.
This has taken place in the context of the announcement of general elections in the UK, which translated into trend reversals across UK assets.
Higher risk aversion in Europe ahead of the French presidential election also played a role.
Both strategies maintain sizeable long European equity exposures while some macro managers are also short European fixed income. Yet, the likelihood that Macron will win with a comfortable margin at the runoff on 7 May is supportive for both strategies.
Meanwhile, merger arbitrage outperformed last week. The proposed merger between Abbott Laboratories and Alere is back on track at a renegotiated price, which fuelled Alere’s shares by more than 15 per cent during the period under review.
