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Lyxor Hedge Fund Index Down 0.5% Last Week

The Lyxor Hedge Fund Index was down -0.5%, dragged down by the underperformance of Global Macro managers.
They particularly suffered from the downward trend in USD vs. DM FX (EUR, GBP and CHF). The other buckets were nonetheless resilient. Yet, heterogeneous positions led to disparate returns across managers.

CTAs outperformed thank to their commodity bucket, in particular through their long positions on aluminum and their short on wheat and corn. Long allocations to equities, especially in the U.S. and in Asia, fostered returns.

The other strategies’ returns were modest. Variable L/S Equity outperformed Neutral funds. Event-Driven funds ended the week almost flat.

Lyxor A

Long/Short Equity

Most L/S Equity managers delivered robust returns last week thanks to supportive equity markets. New economic releases confirmed yet again a rather optimistic outlook for global growth and propped up equities. Few changes in terms of positioning as the managers have remained constructive with a fairly high level of gross exposure amidst interesting level of dispersion in stock returns.

The earnings season started on a positive note which sent U.S. equity indices towards new highs. Once again, investors’ focus remained on growth sensitive industries while defensive areas underperformed. As economic data improved, yields amplified their rise which favored long positions in financials.

Despite a less supportive environment, European-focused managers proved resilient. A nimble positioning on the long side of the portfolio proved rewarding while one multi-factor quantitative manager extracted strong alpha from the short book. Japan is also recovering quite well and long cyclical positions have performed strongly.

Lyxor LSE

CTAs

CTAs funds outperformed last week, confirming their strong start to 2018.

They thrived from their exposures to commodities, through long aluminum and short wheat and corns, and equities. They benefitted from their long Asian and U.S. equities.

The fixed income portfolio signed subdued performances. Long European bonds struggled with widening rates on most of the different maturities while short bias on U.S. treasuries helped the fixed income buckets finish into positive territory.

FX portfolios posted disparate but overall negative results. Short JPY and CHF were the largest detractors. Long EUR and EM currencies (MXN, CNH, BRL and PLN mainly) offset part of losses.

Lyxor CTA