The Lyxor CTA index underperformed last week, losing 3.9 per cent, according to the latest Weekly Brief from Lyxor’s Cross Asset Research team. But several managers had already started to cut leverage ahead of last week’s market turmoil and managed to limit losses.
The performance of a sample ranges from -2 per cent to -15 per cent since early February. Most funds are now in negative territory YTD. L/S Equity funds also suffered a 2.2 per cent drawdown last week.
Lyxor writes: “On a positive note, merger arbitrage fared very well and matched expectations regarding their ability to deliver returns uncorrelated with market movements.
“We reiterate our strong convictions on the strategy, with US deal spreads above 7 per cent early February and strong global M&A activity so far in 2018, especially in the US. Finally, low beta L/S Credit funds also fared well though it is worth noting that the sell-off has largely spared the credit market globally. We also maintain an overweight stance on low beta L/S Credit while holding to our neutral stance on CTAs.”
