{"id":33444,"date":"2014-03-17T02:35:04","date_gmt":"2014-03-17T01:35:04","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/february-not-that-cold-for-hedge-funds\/"},"modified":"2014-03-17T02:35:04","modified_gmt":"2014-03-17T01:35:04","slug":"february-not-that-cold-for-hedge-funds","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/february-not-that-cold-for-hedge-funds\/","title":{"rendered":"February, not that cold for hedge funds"},"content":{"rendered":"

Gains across equity markets reversed the weak start of the
\nyear, driven by better investor sentiment and lower risk
\npremiums.<\/strong> The consensus eventually ignored most of the US
\ndata noise, likely impacted by extreme weather. The end of the
\nUS earnings season finishing on a strong note and firm
\neconomic data in Europe also provided support. EM markets
\nremain a source of concerns, where many currencies
\ncontinued to sell off. Fixed income yields have not rebounded
\nwith other risk assets, taking a more conservative take on
\nglobal growth.<\/p>\n

Strong performances were recorded in L\/S Equity.<\/strong> The
\nVariable bias funds were up +1.8%, comparing nicely with their
\nlong bias peers up +2.7%, with about half of their net
\nexposure. Positions on cyclicals, non-large cap, and European
\nstocks posted the strongest relative performance.
\nThe variety
\nof themes which can be expressed in European equity
\n(including EM exposure, EU core vs. periphery, recovery
\nthemes, domestic vs. external demand dynamic) has
\ncontributed to alpha generation. Positions in Europe are
\ngradually reweighted, in particular in consumer and industrial
\nstocks.<\/quote>
\n Long bias funds have marginally reduced their net
\nexposure: but their long book remained unchanged. Funds
\nfocusing on Asia and Emerging markets as well as market
\nneutral funds have unsurprisingly been lagging. On average
\nLong bias funds enter March with a 75% net exposure, and a
\n140% gross exposure; Variable bias, 35% and 200%
\nrespectively.<\/p>\n

Special situation funds ranked number one in February up
\nas much as +3.5%.<\/strong> All Event driven funds got boosted by the
\nrecovery in risk sentiment. Special situation positions performed
\nwell.
\nMerger arbitrage funds also enjoyed a fresh load of new
\ndeals. Interestingly hostile and stock deals accounted for a
\nmore significant share of the volumes announced lately.<\/quote>
\n These
\naggressive features bode well for the gradual momentum
\nsupporting M&A trends. Mega deals including Time Warner,
\nVerizon or Forest Laboratories announced this month were
\nsuccessfully played by most funds. On average, Event Driven
\nfunds end the month with a 60% net exposure (shaved off
\nacross the board from 70% early this year) and a stable gross
\nexposure at 120%. Their 4 main sector concentration are on
\ncommunication, financials and consumer both cyclical and
\nnon-cyclicals.<\/p>\n

Following a tough month of January, the Long Term CTAs
\nrebounded strongly, up +3.4% in February.<\/strong> They benefitted
\nfrom their equity and to a lesser extent, rates positions. These
\nhad been maintained \u2013 though reduced \u2013 despite the
\nweakness early this year. Short USD positions against Euro
\nand GBP positively contributed. Main losses were recorded in
\nlong energy and short precious metals. Medium term models
\nunderperformed, hit in January, and again in February once
\npositions were rebalanced.
\nShort Term CTAs have been faster
\nto adjust their exposure to the February reversal. They profited
\nfrom volatility in base metals and agriculturals. Besides, the
\ndownward repricing of the US economy in ST and LT bonds
\nwas captured by these models.<\/quote>
\n On average CTAs are ending
\nthe month with an elevated margin to equity (around 15%),
\nresulting from current low levels of volatility and correlation.
\nAbout 30% of this risk is allocated to equity, and 10% to
\nbonds.<\/p>\n

The rebound in risky assets also profited to global macro –
\nup +0.7% – which had kept a reasonably constructive take on
\ngrowth.<\/strong> How this view was implemented in detail explains the
\ndispersion of returns within the group. On average, they made
\nprofits on equity (in Europe in particular, which they also
\nreweighted, reflecting the turn in relative economic surprises),
\non long precious metals. Losses were generally incurred in their
\nJapanese stakes, and commodity relative value trades.<\/p>\n

Easing spreads supported Fixed Income funds, though with
\ndispersion.<\/strong> CB Arbitrage funds were up +1.5%. The bulk of
\ntheir returns was generated through gamma trading and
\npositive delta to equity. They also enjoyed strong primary
\nmarkets with attractive pricings. Their market value exposure at
\n175% remained unchanged. L\/S Credit funds were up +1.7%.
\nThey benefitted from spread compression, with HY
\noutperforming IG, consistent with most funds’ positioning. The
\nstabilization in EM spreads also contributed to returns (in
\nparticular positions on Argentina, Venezuela and Greece). They
\ncontinue to be nimble in their positioning. They end the month
\nwith a dominant net exposure on financials, and hold significant
\nstakes in long EU periphery vs. short Europe.<\/p>\n

Strategies sensitive to equity and playing corporate action
\nthemes on the one hand, and the ones focusing on the relative
\nchange in momentum across markets outperformed in
\nFebruary. Large market swings since the beginning year, but
\n“the volatility YTD is a perfect example of why alternative
\nstrategies offer great value versus long-only strategies”<\/em>, says
\nRob Koyfman, senior cross asset strategist at Lyxor AM.<\/p>\n","protected":false},"excerpt":{"rendered":"

The Lyxor Hedge Fund Index was up +1.9% in February,
\nbringing year to date performance to +1.45%. 11 Lyxor
\nStrategy Indices out of 12 ended the month in positive territory,
\nled by the Lyxor Special Situations Index (+3.48%), the Lyxor
\nCTA Long Term Index (+3.4%) and the Lyxor L\/S Equity Long
\nBias Index (+2.7%).<\/p>\n","protected":false},"author":20,"featured_media":33442,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[1470],"tags":[1809,1687,1743,1655,1658,1723,1690,1699,1651,1807,2068,1672],"_links":{"self":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/33444"}],"collection":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/users\/20"}],"replies":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/comments?post=33444"}],"version-history":[{"count":0,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/33444\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media\/33442"}],"wp:attachment":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media?parent=33444"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/categories?post=33444"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/tags?post=33444"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}