Lyxor Notes Increasing Asset Flows To Hedge Funds And CTAsMark Melin
Contrary to calls for the demise of hedge fund investments in the wake of the Calipers decision to pull out of hedge funds, asset flows into hedge funds are growing significantly in early 2015 with managed futures CTAs among the leaders, a report from Lyxor Asset Management says.
Lyxor notes buoyant hedge fund performance “continues unabated”
The buoyant performance of hedge funds, with the Lyxor Hedge Fund index up 2.4 percent year to date, “continues unabated,” the report from the Lyxor research team noted, as they observed several patterns persisting as happens with a good trend.
Risk-driven reward can be seen in the performance of event driven and fixed income hedge fund strategies, both of which were up on the week. Event driven strategies delivered the highest weekly returns, up 0.6 percent on the week, with the Lyxor fixed income index trailing closely behind at 0.5 percent on the week.
Managed futures CTA performance changes with waning price persistence
Rebounds in treasury yields and energy prices are helping global macro funds while mid-term to longer term momentum-based CTAs are predictably having difficulty as price persistence gives way to indecisive market environments. Macro managers are short duration on the yield curve, the Lyxor report noted, and slightly long energy, which is the opposite positioning of many of the CTAs.
In Europe, hedge funds that gathered the majority of assets included multi strategy, market neutral equity funds and managed futures CTAs. The renewed investor appetite for CTAs comes in sharp and odd contrast to 2014, when the mathematically driven investment methodology actually saw asset withdrawals during one of the best market environments of a decade.
On a going forward basis, Lyxor, like other hedge fund managers, is looking for a September 2015 rate hike from the Federal Reserve and remains positive on event driven hedge funds in light of a dovish Fed. Continued deal making and deal spread tightening are also benefiting such funds while global macro funds are likely to benefit from a rally in European equities, a rising U.S. dollar and short duration positions on U.S. rates, the letter noted.
In the CTA space, Lyxor likes short- and mid-term time horizon CTAs relative to long term CTAs, nothing that long term CTAs are still short energy and long U.S. Treasuries. In equities Lyxor likes long / short, market neutral and systematic funds in Europe and Asia, while in the U.S. sector specialists and variable basis funds are preferred over less attractive long only variety.