{"id":47434,"date":"2015-12-14T00:10:46","date_gmt":"2015-12-13T23:10:46","guid":{"rendered":"http:\/\/beta.next-finance.net\/strategie\/trading-fed-vs-ecb-benefits-macro-strategies\/"},"modified":"2015-12-14T00:10:46","modified_gmt":"2015-12-13T23:10:46","slug":"trading-fed-vs-ecb-benefits-macro-strategies","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/strategie\/trading-fed-vs-ecb-benefits-macro-strategies\/","title":{"rendered":"Trading FED vs. ECB benefits macro strategies"},"content":{"rendered":"<ul>\n<li> <strong>The Fed and the ECB took center stage The Fed and the ECB took center stage The Fed and the ECB took center stage \u2013 again \u2013 in<br \/>\nNovember.<\/strong> The October 28 FOMC statement downplayed abroad<br \/>\nrisks and specified that members would consider &#8220;at the next<br \/>\nmeeting&#8221; whether action would be appropriate. It spurred an orderly<br \/>\nbut clear market repositioning. Later on, several ECB comments<br \/>\nbuilt up expectations for additional monetary easing at their<br \/>\nDecember meeting. Tactical positioning around these two catalysts<br \/>\ndominated markets. <strong>It mainly benef It mainly benefitted to CTAs, itted to CTAs, itted to CTAs, Global Macro Global Macro Global Macro<br \/>\nand Variable L\/S Equity funds. and Variable L\/S Equity funds. Most other strategies Most other strategies Most other strategies recorded recorded<br \/>\nmixed returns.<\/strong><\/li>\n<\/ul>\n<ul>\n<li> <strong>L\/S Equity kept their cautious exposure, with li L\/S Equity kept their cautious exposure, with limited portfolio ed portfolio<br \/>\nchanges.<\/strong> The strategy made slow and steady gains over the<br \/>\nmonth. Equities were not the markets\u2019 epicenter. Trading volumes<br \/>\nremained subdued ahead of the Fed and ECB meeting. Managers\u2019<br \/>\npositioning remained cautious &#8211; even among the long US bias<br \/>\nfunds &#8211; and portfolios were little changed. Amid a lack of<br \/>\ndirectionality, the alpha was mainly produced on short books.<br \/>\nAsian and UK focused managers were the most successful at this.<br \/>\nEuropean managers underperformed, not helped by a<br \/>\ndisappointing earnings season. Market neutral funds continued to<br \/>\nsuffer from momentum and sector rotations. After weeks of poor<br \/>\nalpha conditions \u2013 with high correlation and poor dispersion &#8211; the<br \/>\nbackdrop is now recovering in most G3 markets. <\/li>\n<\/ul>\n<ul>\n<li> <strong>Merger Arbitrage outperformed their Special Situation peers.<\/strong> A<br \/>\ngreater opportunity set in the M&#038;A space and few closing<br \/>\noperations helped offset losses on Perrigo &#8211; a deal which<br \/>\naccounted for an average 6% of the Merger fund net exposure.<br \/>\nIndeed, the Mylan hostile deal on the Irish drug maker Perrigo<br \/>\nfailed. Mylan couldn\u2019t gather the required shareholder majority with<br \/>\na view to participate in the wave of consolidation in the generic<br \/>\ndrug industry. In contrast with recent months, deal spreads were<br \/>\ngenerally wider, driven both by more aggressive M&#038;A operations,<br \/>\nand higher risks. Risks include antitrust decisions due in 2016 for<br \/>\nseveral mega deals and the threat from tax inversion regulation.<br \/>\nThis space is offering greater room for alpha generation. <\/li>\n<\/ul>\n<p>The returns of Special Situation funds were rather macro than<br \/>\ncompany-specific driven. In particular, the healthcare sector, a key<br \/>\nculprit for the recent underperformance, staged a mild rebound,<br \/>\nwith limited stock discrimination. Meanwhile the recovery in the<br \/>\npricing of corporate operations continued, though at a slower pace<br \/>\nthan headline markets. The cost of the portfolio hedges, implemented since October, was a substantial explanatory factor<br \/>\nfor this month\u2019s negative returns. <\/p>\n<ul>\n<li> <strong>L\/S Credit continued to underperform Fixed Income continued to underperform Fixed Income continued to underperform Fixed Income Arbitrage Arbitrage funds.<\/strong> US credit markets were under increased pressure in November. The underperformance of HY relative to IG, loans or<br \/>\nequities expressed concerns about the coming Fed normalization<br \/>\nand a new slide in oil prices. With default rate and liquidity stress<br \/>\non the rise, credit concerns stepped up. In that context, L\/S credit<br \/>\nfunds limited the damage, thanks to a cautious positioning,<br \/>\nespecially in the sectors which suffered the most \u2013 Energy and<br \/>\nTelecom. Those focusing on European markets outperformed, in a<br \/>\nmarket supported by improving macro data and by the ECB<br \/>\ninitiatives to boost credit in Eurozone. Fixed Income arbitrage funds<br \/>\ncontinued to exploit dislocations in the relative pricing of cross<br \/>\ncredit markets. The alpha potential in this space has become<br \/>\nattractive. <\/li>\n<\/ul>\n<ul>\n<li> <strong>CTAs more than more than more than recouped their post-FOMClossesin bonds in bonds in bonds.<\/strong> CTAs started in the red, hurt by the rate reversal triggered by the<br \/>\nend-of-October FOMC. They fully recovered these initial losses<br \/>\nover the month. As the odds for a December Fed start and ECB\u2019s<br \/>\nadditional stimulus built up, long USD crosses and Euro bonds<br \/>\ngenerated strong P&#038;L. While CTA models cut most of their US<br \/>\nlong bond positions, they continued to strengthen their equity<br \/>\nholdings. By month-end they remained long USD and equities,<br \/>\nshort European bonds and very short commodities \u2013 including in<br \/>\nagricultural. <\/li>\n<\/ul>\n<ul>\n<li> <strong>Global Macro funds made the Global Macro funds made the Global Macro funds made themonth on their long held bullish month on their long held bullish<br \/>\ndollar trade (especially against GBP, Euro, JPY).<\/strong> The bulk of their<br \/>\nNovember return was generated thanks to their USD crosses in the<br \/>\naftermath of the FOMC. In contrast, their long equities were not a<br \/>\nsubstantial contributor. They started November with a moderate<br \/>\nrate exposure, with increasingly active tactical positioning around<br \/>\nmonetary announcements. By mid-month, they reweighted more<br \/>\nfirmly their long US bonds and their short Euro bonds \u2013 implicitly<br \/>\ngiving credit to a bold ECB action. By month-end there were net<br \/>\nneutral on US equity and long both European and Japanese<br \/>\nstocks. They were also short base metals but neutral energy, with<br \/>\na long US vs. short European bond exposures. They continued to<br \/>\nreinforce their long USD play. <\/li>\n<\/ul>\n<p><em>\u201cThe cycle remains tame, but it is aging and asynchronous.<br \/>\nMarkets remain subject to these conflicting forces. Those forces<br \/>\nsupporting volatility and dispersion will prevail in our view, making hedge funds attractive.\u201d<\/em>  says Jean-Baptiste Berthon, senior cross asset strategist at Lyxor AM.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The Lyxor Hedge Fund Index was he Lyxor Hedge Fund Index was he Lyxor Hedge Fund Index was up+0.7% in November November. 4 out of 11 Lyxor Indices ended the month in positive territory. The Lyxor CTA Long Term Index (+3.6%), the Lyxor Global Macro Index (+1.8%), and the Lyxor LS Equity Variable Bias Index (+1.2%) were the best performers. <\/p>\n","protected":false},"author":20,"featured_media":47432,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[1483],"tags":[1687,1743,1655,1723,1690,1651,1437,1662,2243,2068,1672],"_links":{"self":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/47434"}],"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=47434"}],"version-history":[{"count":0,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/47434\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media\/47432"}],"wp:attachment":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media?parent=47434"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/categories?post=47434"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/tags?post=47434"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}