Lyxor: Hedge Fund Index Down -0.5% as Global Macro Underperformed

Jan 22 2018 | 5:33pm ET

Hedge funds posted mild losses last week as global macro funds suffered from the turn in the dollar, according to Lyxor Asset Management’s most recent Weekly Brief.

The Lyxor Hedge Fund Index was down -0.5%, dragged down by the underperformance of global macro managers, the company said.The result brings the year-to-date (YTD) performance of the metric to +1.2%.

CTAs Broad Index gained +1.4% over last week to bring its YTD tally to +3.5%, confirming its strong start to 2018. CTA funds benefited from their long Asian and U.S. equities, according to Lyxor.

The company’s Long/Short Equity Broad Index gained +0.4% for the week and brought its YTD tally to +1.8%. Most long/short equity managers delivered robust returns last week as a result of supportive equity markets, the company reported.

Event-driven funds were down -0.1% last week, and the segment remains a positive return of +0.9% this year.

In its latest brief, Lyxor’s focused on company activities as earnings season has begun.

“Companies are strongly incentivized to spend, at a time when U.S. assets are aging and when digitalization is soaring,” noted Lyxor senior strategist Philippe Ferreira in the report. “A goldilocks for corporate activity might be shaping up, amid strong corporate confidence and improving margins."

Lyxor expects this inflection to benefit the bottom-up managers. Increased stock discrimination should support alpha generation for long/short equity funds. Business and capital changes should also provide opportunities for event-driven funds, according to the Lyxor report.

Lyxor’s Weekly Brief aims to identify trends in hedge fund investing while leveraging the proprietary information accessible through the company’s managed account platform.

Lyxor’s Hedge Fund indices are based on the universe of funds available on the platform determined on a monthly basis to be eligible for inclusion. Participating funds represent $23.5 billion of assets under management and replicating $ 158.4 billion in AUM as of December 2017.

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