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Hedge fund returns flat since end of March

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The latest monthly hedge fund brief from Lyxor highlights that hedge fund performance since the end of March has been flat, according to several benchmarks.

The industry has deleveraged during the market turbulence in February and March and has thus not fully captured the market rebound in Q2 to date.
From the perspective of hedge fund strategies, the outperformance of Event-Driven, Global Macro and Relative Value Arbitrage was offset by the underperformance of L/S Equity and CTAs.
“Our views have marginally changed lately. While we continue to express an Overweight stance on Event-Driven and Fixed Income Arbitrage and a Neutral stance on Global Macro and L/S Equity, we upgraded CTAs from Underweight to Neutral,” says Lyxor’s Philippe Ferreira (pictured). “This upgrade is taking place in a context where we find low beta strategies increasingly appealing in the context of a higher volatility regime in risk assets. CTAs also have exposures to traditional asset classes that are now much more balanced compared to a few months ago when their performance was heavily reliant on the momentum in equity markets. From that perspective, CTAs are back as a diversification strategy.”

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