Lyxor Asset Management

Top 400 Ranking: 102

Request More Information

CTA and Macro Strategies Diverge

Recent data releases and lower political risks provided further stimulus to European risk assets. Since the beginning of Q2, European equities outperformed the U.S. market by a hefty 3.5%. Meanwhile, EUR appreciated vs. USD, negatively impacting the performance of Global Macro managers.

The performance of hedge funds, as measured by the Lyxor Hedge Fund index, was flat last week. It was essentially hampered by the negative performance of Global Macro managers, who had maintained short positions on the EUR vs. USD and long positions on commodities (energy and metals). As a result of adverse market movements compared to their positioning, the Lyxor Global Macro index was down -0.5% last week. The remaining hedge fund strategies were in positive territory, led by CTAs ( 0.7%).

After a difficult month of April for CTA performance, the first week of May was supportive. Long positions on both equity and bond markets contributed substantially. In the near term, their long positions on commodities and short positions on European currencies may continue to detract from performance. We maintain a defensive positioning on the strategy for the time being.

Meanwhile, Event-Driven and L/S Equity strategies continued their upward trend. In particular, merger arbitrage has staged a healthy rebound so far in Q2, up 2.9% since the end of March. The strategy benefitted from long positions on companies such as Actelion, NXP semiconductors, Syngenta and Alere, which experienced positive developments lately. On the L/S Equity side, managers with a long market bias outperformed, without much surprise considering the rebound in global equity markets. Market neutral L/S Equity managers are flat so far in Q2 and have thus protected the gains achieved in Q1 this year.

Going forward, we continue to prefer bottom-up strategies (L/S Equity, Event Driven) compared to top down strategies (CTAs, Global Macro). The latter is still positioned for higher commodity prices (energy, metals) and a stronger USD, which appears less straightforward as the market reevaluates the optimism that followed the U.S. election.

Read the complete white paper at the link beneath Related Files

Head Office
Tours Société Générale
17 Cours Valmy
Paris La Défense
Company website:
Parent Company:
Société Générale
Year Founded:
No. of investment offices worldwide:

Browse this manager's…

What’s new

  • summer air pocket

    Summer Air-Pocket

    White papersMon, 21 Aug 2017

    Intensifying stress over North Korea boosted most safe havens while dragging risk assets. 

  • euro appreciation catches global macro off guard

    Euro Appreciation Catches Global Macro Off Guard

    White papersMon, 7 Aug 2017

    The dollar continued to depreciate against major currencies over the recent weeks, in a context where the U.S. administration has struggled to gain reform momentum in the health care and fiscal areas. This is having far reaching market implications. 

  • merger arbitrage leads the pack in july

    Merger Arbitrage Leads the Pack in July

    White papersMon, 31 Jul 2017

    Risk assets were again on the rise in July and several asset classes broke records. 

  • tech stocks roar ahead and fuel stockpicking strategies

    Tech Stocks Roar Ahead And Fuel Stockpicking Strategies

    White papersMon, 24 Jul 2017

    A rising tide lifts all boats. The sharp outperformance of technology stocks lifted the S&P 500 to new records last week; as the sector represents 23% of the index nowadays. In turn, the MSCI World also reached new records, considering the huge weight of U.S. stocks (59%) in the benchmark. 

  • more balanced ahead of the summer

    More Balanced Ahead of the Summer

    White papersTue, 18 Jul 2017

    Risk assets range-traded before rallying after Yellen’s dovish testimony before Congress and amid positive economic prints in the U.S. and Eurozone. Releases in the U.S. suggested healthy activity and job growth. European data were consistent with a sustainable recovery. 

Search all our content