Lyxor Asset Management

Top 400 Ranking: 102

Request More Information

Spring Rally for Merger Arbitrage

Hedge Fund Briefs – May 2017 

All eyes were focused on Europe in April, ahead of the presidential election in France. Election polls were eventually reliable, and the victory of Emmanuel Macron over Marine Le Pen was a relief for European risk assets, both equities and high yield credit. In parallel, the Euro appreciated vs. USD as Frexit fears receded and economic growth in the U.S. slowed down.

These market conditions led to contrasting performances across hedge fund strategies. The Lyxor Hedge Fund index was slightly down in April (-0.2%), as a result of negative returns experienced by Global Macro and CTA strategies. Both strategies were hampered by short positions on European currencies vs. USD. In parallel, momentum strategies were penalized by the announcement of general elections in the UK, which caused trend reversals across UK assets.

On a positive note, Event Driven, Fixed Income Arbitrage and L/S Equity indices were all positive in April. In particular, the Lyxor Event Driven index outperformed, up 2% in April and 4.2% year to date (as of early May). Overall, higher positions on cyclical sectors such as financials and materials were rewarding. Within Event Driven, Merger Arbitrage funds took the lead in April, buoyed by positions in Actelion, NXP semiconductors, Syngenta and Alere.

Going forward we prefer L/S Equity and Event Driven strategies to CTA and Global Macro. Stockpickers should benefit from the lower correlation between stock (and sector) returns in the U.S and in Europe. Meanwhile, trend following conditions remain constrained by the lack of firm trends in several asset classes. Finally, within Global Macro, we have a preference for multi asset/diversified managers compared to fixed income or foreign exchange specialists. Expectations of higher bond yields and dollar appreciation are less straightforward as the market reevaluates the optimism that followed the U.S. election.


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

  • 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. 

  • hedge funds lose momentum as ctas and macro struggle

    Hedge funds Lose Momentum as CTAs and Macro Struggle

    White papersThu, 13 Jul 2017

    Risk aversion rose over the course of June, as investors grew worried about the ability of the U.S. administration to move forward with expected reforms. 

Search all our content