{"id":51342,"date":"2016-04-25T00:51:09","date_gmt":"2016-04-24T22:51:09","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/the-alternative-investment-industry-barometer-all-hedge-fund-strategies-up-ctas-skip-a-beat\/"},"modified":"2019-12-31T00:40:06","modified_gmt":"2019-12-30T23:40:06","slug":"the-alternative-investment-industry-barometer-all-hedge-fund-strategies-up-ctas-skip-a-beat","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/the-alternative-investment-industry-barometer-all-hedge-fund-strategies-up-ctas-skip-a-beat\/","title":{"rendered":"The Alternative Investment Industry Barometer : All hedge fund strategies up, CTAs skip a beat"},"content":{"rendered":"

>> Monetary meetings, minutes, and speeches continued to
\ndominate market trends.<\/strong> The ECB and the Fed were more
\ndovish than expected, boosting risky assets. A majority of
\nhedge funds strategies delivered positive returns led by Fixed
\nIncome Arbitrage and the L\/S Equity Long bias funds. The
\nmain drag in March came, for once, from the CTAs which lost
\non the oil rally and to some extent on bonds.<\/p>\n

>> L\/S Equity: Value stocks boost the longest bias.<\/strong> The
\nlongest bias funds outperformed thanks to their tilt on value
\nstocks. By contrast, the Variable bias group underperformed.
\nTheir returned were dispersed. Variable Japanese and
\nEuropean funds made do with a timid local rally compared to
\nthat unfolding in the US and in EM markets. Neutral funds
\nbenefitted from a pause in factor rotations.<\/p>\n

The sentiment among the US managers that we surveyed is
\nimproving.<\/quote>
\n While still waiting for fundamental evidence to
\nsupport the recent rally, they covered their short on energy
\nstocks, they turned constructive on the consumer and the
\nhousing related sectors, and they reinforced their net
\nexposure. Sentiment is much more mixed in Europe. Number
\nof uncertainties keeps them cautious and reluctant to take
\nbold stances.<\/p>\n

>> Event Driven returns were rather driven by
\nidiosyncratic developments.<\/strong> Merger arbitrage benefitted
\nfrom various developments. These include Staples making
\nprogress toward the acquisition of Office Depot, the Pepco
\nacquisition finally receiving Washington\u2019s green light,
\nStarwood obtaining a sweetened offer from Marriott. As a
\nresult, deal spreads tightened in March. The basket of US
\nM&A deals that we track saw a 1% contraction of the average
\ndeal spread. <\/p>\n

Improving risk aversion helped activist positions and Special
\nSituation funds. Gains were partially offset by continued
\npressure in the healthcare sector, though they managed to
\ndodge most of the Valeant plunge.<\/quote><\/p>\n

>> Tailwinds boosting L\/S Credit and FI Arbitrage funds.<\/strong>
\nCredit spreads kept on tightening. The rebound in oil prices,
\naccommodative central banks, and fading stress regarding
\nChina further eased the stress on high-yield. FI Arbitrage
\nfunds successfully captured the convergence among credit segments. They also added P&L thanks to their Asian
\nexposures. Gains in Europe were capped by the cost of the
\nhedges they put in place. <\/p>\n

>> The bearish CTAs\u2019 positioning proved costly in March.<\/strong>
\nCTAs started March with their energy exposure cut by half
\nand a long position rebuilt in metals. Yet, the violent
\nrebound in oil prices was a severe drag. The drop in bonds
\nuntil mid-March, engineered by a dovish Fed, was the other
\nmain source of losses. The FX bucket produced mixed
\nreturns. Long JPY and crosses in the commodity block paid
\noff. These gains were offset by losses from short Euro and
\nGBP positions. Their long Equities produced positive returns.<\/p>\n

While CTAs remain bearishly positioned they have
\nsubstantially modified their allocations. They reduced their
\nlong US bonds and turned short on the dollar. They still hold
\na small energy short, but built up longs in both base and
\nprecious metals.<\/p>\n

Better alpha conditions for US & European equities?<\/strong>
\n\"un_meilleur_contexte_d_alpha_pour_les_actions_us_et_europeennes-2.jpg\"<\/a><\/p>\n

>> Global Macro: dispersed returns, mixed and balanced
\nexposures.<\/strong> They finished the month modestly up. Their long
\nUSD positions was a drag. By contrast, their longs in EM
\ncurrencies were profitable. They have actively traded the
\nMarch monetary catalysts, in particular through their bond
\nexposures. They cut most of their long US bonds and
\nmaintained their modest short in European bonds.<\/p>\n

>> \u201cEquity dispersion remains robust, correlations
\nplunged. The EPS season, unlikely to bring major surprises,
\ncould mean more fundamental pricing. This is favorable for
\nL\/S Equity funds.\u201d<\/em> says Jean-Baptiste Berthon, senior cross
\nasset strategist at Lyxor AM.