{"id":44183,"date":"2015-08-19T08:33:00","date_gmt":"2015-08-19T06:33:00","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/receding-systemic-risks-but-cautious-risk-appetite\/"},"modified":"2015-08-19T08:33:00","modified_gmt":"2015-08-19T06:33:00","slug":"receding-systemic-risks-but-cautious-risk-appetite","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/receding-systemic-risks-but-cautious-risk-appetite\/","title":{"rendered":"Receding systemic risks, but cautious risk appetite"},"content":{"rendered":"

A macro month with markets left in the passenger seat driven
\nby highly speculative catalysts.<\/strong> They were bound to follow the
\nunpredictable jolts of the intensifying Greek saga ahead of the July
\n20th repayment deadline. The eleventh hour deal allowed a
\nrecovery in risky asset. 3000 km away from there, the Iran nuclear
\ndeal was another speculative catalyst with severe implications for
\nthe energy sector. Far East, the acceleration of the Chinese stock
\ncrash unsettled emerging markets and global assets, with
\nconcerns of a domino effect from the unwind of trading margins. <\/p>\n

L\/S Equity funds were strongly up overall, except for Asian
\nfunds.<\/strong> The \u2013 temporary \u2013 settlement of the Greek saga and the
\nsecond down leg in commodities selectively favored Europe and to
\nsome extent Japan. Both regions also enjoyed a strong earning
\nseason. European L\/S equity managers outperformed in July,
\nbenefiting from a strong beta contribution and exploitable themes.
\nAll of them were up in July. By contrast, the US trading
\nenvironment was more challenging, facing a pending start of the
\nFed’s normalization and a poor Q2 earning season. However, the
\ndrop in US correlations and increased fundamental\/companyspecific
\npricing allowed US managers to extract a strong alpha
\nboth on their shorts and their longs. Almost all of them ended the
\nmonth up. The laborious stabilization process in Chinese stock
\nmarket continued to erode Asian managers\u2019 returns. They were
\nhowever much better protected than during the first phase of the
\nChinese de-bubbling. <\/p>\n

Event Driven funds returns lagged. Merger Arbitrage
\nunderperformed Special Situation funds.<\/strong> The overall US regional
\nbias of the strategy played out adversely. The poor US earning
\nseason added volatility in key healthcare, media and tech deals. It
\noffset gains locked on the completion of DirectTV vs. AT&T
\noperation or on the announcement of the Teva vs. Allergan jumbo
\ndeal. Such environment was much more challenging to navigate
\nfor Merger arbitrageurs. While Event Driven funds’ exposure to the
\nresources sectors was limited, the magnitude of the collapse in energy and base metals in July was unexpected. It hit positions
\namong both Merger Arbitrage and Special Situation funds. Besides
\nthe cautiousness building up on illiquid positions ahead of the
\nFed’s normalization didn’t help. The resilience of the liquid activist
\nstakes allowed Special Situation funds end the month flat or so.<\/p>\n

Quite an honorable performance from the L\/S Credit Arbitrage
\nfunds.<\/strong> Very conservatively positioned, managers dodged most of
\nthe accelerating deterioration in the energy sector. They also were
\nlittle affected by concerns rapidly building up in US credit market,
\nboth in IG (mainly from resources issuers) and in HY (factoring in
\npoor earnings). They delivered increased P&L on their shorts. They
\nwere also able to benefit from the opportunity window opening in
\nEuropean periphery spreads, following the eleventh hour Greek
\ndeal.<\/p>\n

CTAs outperformed in July thriving on commodities.<\/strong> They were
\ninitially hit by the cross-asset reversals following the surprise
\nreferendum announced in Greece. They fully recovered the lost
\nground thereafter. Their selective directionality paid off. The largest
\ngains were recorded on their short energy, and their long on
\nEuropean risky assets. <\/p>\n

They recorded milder gain on their long USD positions and their
\nlong US and UK bonds. In balance, gains in these bonds were
\neroded by losses in European bonds. <\/p>\n

Global Macro funds performed well in constrained markets.<\/strong>
\nUnlike CTAs managers, commodities were not key contributors.
\nBut they were well positioned to benefit from an environment with
\nlower systemic risk, but concerned by the pace of global growth
\nrecovery. Renewed weakness in oil added support to reflation
\nzones. To that regards, their overweight on Eurozone vs. US
\nequities paid off. The volatility during the month was managed
\nthrough their rate exposure, which provided a hedge. By month
\nend, they held a zero net exposure to European bonds, and a 15%
\nUS net bond position. <\/p>\n

\u201cReceding systemic risks following the Greek deal and the
\nstabilization of the Chinese stock market haven’t opened a risk-on
\nperiod. Instead the focus has shifted on the implications from the
\nChinese slowdown and from the Fed’s normalization.\u201d<\/em> says JeanBaptiste
\nBerthon, Senior Cross-Asset Strategist at Lyxor AM.<\/p>\n","protected":false},"excerpt":{"rendered":"

The Lyxor Hedge Fund Index was up +1.3% in July. 8 out of 12
\nLyxor Indices ended the month in positive territory, led by the Lyxor
\nCTA Long Term Index (+4.6%), the Lyxor Global Macro Index
\n(+2.6%), and the Lyxor Variable Bias Index (+2.3%). <\/p>\n","protected":false},"author":1,"featured_media":44181,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[1470],"tags":[1809,1687,1743,1655,1723,1690,1651,1662,2243],"_links":{"self":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/44183"}],"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\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/comments?post=44183"}],"version-history":[{"count":0,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/44183\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media\/44181"}],"wp:attachment":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media?parent=44183"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/categories?post=44183"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/tags?post=44183"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}