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Coronavirus Propels Emerging Market Macro Hedge Funds To January Gains

Lyxor's Cross-Asset Research team's weekly view into the hedge fund industry shows Emerging Market Macro funds, which invest heavily in sovereign debt and currencies, up +0.5% in January. Lyxor says that the disinflationary nature of the Coronavirus outbreak "was supportive for the asset class to the extent that it dragged Treasury yields lower." Other strategies to enjoy positive returns in January were Long/Short Credit and Risk Arbitrage, up +0.6% and +0.3% respectively.

Like other commentators, Lyxor saw strong returns for CTAs last month, but a closer look shows a see-saw effect, with CTAs giving back gains in the last 2 weeks of the month, down -1.6% for an overall +0.6% gain. Lyxor remains Neutral "as we find it challenging to time the momentum risk factor across asset classes."

Lyxor also looked at the alternative UCITS space this week, finding that the cumulative performance of these strategies over a three month period matters most for future asset flows; CTAs and Long.Short Credit are the most sensitive to recent performance when it comes to receiving investor allocations, so managers of these strategies could be seeing inflows in the near future.


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