Lyxor Asset Management

Top 400 Ranking: 102http://www.lyxor.com

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.

Tags

Head Office
Tours Société Générale
17 Cours Valmy
Paris La Défense
F-92987
France
Company website:
http://www.lyxor.com
Parent Company:
Société Générale
Year Founded:
1998
No. of investment offices worldwide:
12

Browse this manager's…

What’s new

  • investment strategies for a rising interest rate environment

    Investment Strategies for a Rising Interest Rate Environment

    White papersWed, 17 May 2017

    After a prolonged period of low and even negative interest rates across major economies, government bond yields have made a decisive move upwards in recent quarters. 

  • bottom up strategies outperformed

    Bottom-Up Strategies Outperformed

    White papersMon, 15 May 2017

    All eyes turned to the French elections. Hedging dominated most European markets until the first round. 

  • spring rally for merger arbitrage

    Spring Rally for Merger Arbitrage

    White papersFri, 12 May 2017

    Hedge Fund Briefs – May 2017 

  • cta and macro strategies diverge

    CTA and Macro Strategies Diverge

    White papersTue, 9 May 2017

    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.

  • exit frexit special situations and ctas take the podium

    Exit Frexit: Special Situations and CTAs take the Podium

    White papersTue, 2 May 2017

    Unlike the surveys ahead of the UK referendum and the U.S. elections, French election polls seemed to be more reliable. The chances of Le Pen winning the presidency seem to be very slim and not within margins of error. 

Search all our content