Global Macro funds at Lyxor seem to be prudently positioned.<\/p><\/blockquote>\n
After the UK referendum and
\nthe U.S. election surprises, they are more cautious. While they do not seem to be taking a
\nparticular stance on the elections, they are de-risking portfolios and favor relative value
\ntrades. Their net total exposure to equities and FX (in USD) are both below 20%.<\/p>\n
Event Driven funds have marginally increased their European exposures since the end of
\n2016, however, portfolio additions are company-specific. They include merger, post-merger
\nand recapitalization situations.<\/p>\n
Non-European L\/S Equity funds steadily increased their allocation to Europe over the last
\nsix months with little influence from trends in polls. Such funds seem to play the European
\nrecovery. Accounting for a third of their exposure, their European stakes do not seem to be
\nabnormally hedged.<\/p>\n
European L\/S Equity managers also seem to play the recovery but with protections layers.<\/p><\/blockquote>\n
They raised their net exposure by a third since the end of 2016, favoring cyclical sectors
\nsuch as industrials, tech and materials, as well as small caps. That is not to say that they
\nshrug this risk-off. Since the end of January, when the election stress stepped up, they
\nreduced financials and EU-domestic stocks. Additionally, they reinforced the defensive
\nsectors and moved toward non-EU\/EMU European markets. They also maintained their
\nshort on indices futures implemented back in November 2016.<\/p>\nFinally, CTAs seem to be more aggressively exposed to Europe.<\/p><\/blockquote>\n
Their long equities
\naccount for the bulk of their current directional exposure, a third of which in Europe. It is
\npartially hedged with long Euro-bond, short EUR, short U.S. duration (all of relatively small
\nsize).<\/p>\n
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