Hedge funds ended the week in negative territory, concluding a tough quarter for alternative strategies, according to Lyxor’s managed account platform research team.
The performance drivers of Q3 were once again running at full tilt last week: choppy equity markets, credit spreads widening, and a strong US dollar among weaker commodity prices.


Underperforming strategies this quarter are to be found on the relative value and event-driven side. After a strong start this year, convertible arbitrage and L/S credit fund have suffered from the outflows witnessed on the credit space, whilst event-driven funds reported some losses on broken deals during the summer months. Credit has not been in a good spot lately and the impact can be felt on funds focusing on bottom-up opportunities.


On the positive side, there has been a pick-up in performance on systematic strategies: CTAs and L/S market neutral are now the best performing strategies on a YTD basis, thanks to a strong third quarter.
While global macro managers’ performance was rather disappointing as a whole, some bets have proved fruitful in September. Short Euro positions (down 1.68 per cent over the week), short US rates and long European equities all posted gains. Economic and monetary divergences have been growing in the past few weeks, and macro managers have been able to express their fundamental views more easily.
