The Lyxor Hedge Fund Index was up 0.9 per cent in March, with seven out of 10 Lyxor indices in positive territory, according to the latest Lyxor Alternative Investment Industry Barometer.
Long-short (L/S) equity and global macro managers outperformed, supported by exposures to European markets.
Fixed income managers thrived from relative value across government bond yield curves.
Conversely, long term CTAs were hit by lower 10Y UST.
“Consequences from the inflection in rates and inflation are already showing. Asset prices increasingly trading in line with their fundamentals and multiple themes, which would favour hedge funds in Q2,” says Jean-Baptiste Berthon (pictured), senior cross-asset strategist, Lyxor.
“However, the lack of asset dispersion and policy uncertainties remain key constraints. They will not lift before the summer. We expect loose asset trends until then. We shift to relative-value styles and prefer fundamental picker over macro arbitrageurs. We favour US & European L/S equity as well as special situations. We would shave off allocations to CTAs and macro funds.”
