Lyxor: The Alternative Investment industry barometer – March

Lyxor: The Alternative Investment industry barometer – March

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February, not that cold for hedge funds >>The Lyxor Hedge Fund Index was up +1.9% in February, bringing year to date performance to +1.45%. 11 Lyxor Strategy Indices out of 12 ended the month in positive territory, led by the Lyxor Special Situations Index (+3.48%), the Lyxor CTA Long Term Index (+3.4%) and the Lyxor L/S Equity Long Bias Index (+2.7%).

February, not that cold for hedge funds >>The Lyxor Hedge Fund Index was up +1.9% in February, bringing year to date performance to +1.45%. 11 Lyxor Strategy Indices out of 12 ended the month in positive territory, led by the Lyxor Special Situations Index (+3.48%), the Lyxor CTA Long Term Index (+3.4%) and the Lyxor L/S Equity Long Bias Index (+2.7%).

>> Gains across equity markets reversed the weak start of the year, driven by better investor sentiment and lower risk premiums. The consensus eventually ignored most of the US data noise, likely impacted by extreme weather. The end of the US earnings season finishing on a strong note and firm economic data in Europe also provided support. EM markets remain a source of concerns, where many currencies continued to sell off. Fixed income yields have not rebounded with other risk assets, taking a more conservative take on global growth. >> Strong performances were recorded in L/S Equity. The Variable bias funds were up +1.8%, comparing nicely with their long bias peers up +2.7%, with about half of their net exposure.  Positions on cyclicals, non-large cap, and European stocks posted the strongest relative performance. The variety of themes which can be expressed in European equity (including EM exposure, EU core vs. periphery, recovery themes, domestic vs. external demand dynamic) has contributed to alpha generation. Positions in Europe are gradually reweighted, in particular in consumer and industrial stocks. Long bias funds have marginally reduced their net exposure: but their long book remained unchanged. Funds focusing on Asia and Emerging markets as well as market neutral funds have unsurprisingly been lagging. On average Long bias funds enter March with a 75% net exposure, and a 140% gross exposure