Digital Assets Report


Like this article?

Sign up to our free newsletter

Hedge fund performance disparate in May, says Lyxor

Related Topics

Hedge fund performance has been disparate across strategies in May, with event driven funds extending their winning streak (+0.7 per cent), fuelled by Merger Arbitrage which tends to perform well when bond yields fall, according to Lyxor.

In parallel, Macro strategies underperformed (-1.3 per cent), on the back of long positions on the USD and on hard commodities. The remaining hedge fund strategies (L/S Equity, CTA, Fixed Income Arbitrage) ended the month in the black, despite the poor showing of market neutral L/S equity funds (-1.3 per cent).
In its latest Weekly Brief, Lyxor writes: “In terms of positioning dynamics, it is striking to note the extent to which CTAs and Global Macro now differ with regards to Cable exposure. Since Theresa May has called a snap general election mid-April, CTAs have rushed to the exit, trimming net short positions on the GBP vs USD to virtually zero. The strategy suffered losses in April, as the election announcement translated into trend reversals across UK assets. In parallel, Global Macro holds tight. The strategy even added to GBPUSD short positions going into the 8 June vote, at a time when opinion polls narrowed and expectations that the Tories would significantly reinforce their majority in the House of Commons vanished.
“Actually, a hung Parliament would likely translate into additional challenges in dealing with the EU; increasing the likelihood of a bad deal or no deal at all, which is bearing for the GBPUSD. While the recent performance of Macro funds is uninspiring, it is worth remembering that last year they were in a similar configuration. Holding tight on long USD positions which were not rewarding in H1, but were strong contributors to performance in H2-16. We currently maintain a neutral stance on the strategy and have a preference for diversified/multi asset managers.”

Like this article? Sign up to our free newsletter

Most Popular

Further Reading