Sunday, June 21, 2015
TAs Lag As Most Hedge Funds Stumble On Asian Market Dip
As equity and bond market “experienced renewed tensions,” Hedge Funds with sizable long exposure to European equities were hit, as the Lyxor Hedge Fund index was down 1.2 percent on the week. While this may seem like a significant drop – and it is – the stock market benchmarks during this period took a more sustained hit. The Eurostoxx 50 was down 3 percent during the period as the U.S. broad-based benchmark, the S&P 500 was down 1.4 percent.
It was managed futures CTAs who took the most significant losses on the week, losing ground to the tune of 2.2 percent, bringing the month to date loss to 3.9 percent and the year to date loss for the strategy to 2.6 percent basis the Lyxor CTA Broad Index, which is heavily weighted towards trend following.
The move lower in CTA performance was “in line with the strategy’s negative momentum” as powerful trends in not only stocks, but oil, the U.S. dollar and even agricultural exposure all found a muddled market environment that lacked any meaningful price persistence. And it wasn’t just longer term funds that were hard hit, shorter systems have particularly taken a hit since April.
“Short Term systems in particular, shifted towards long energy exposure and were hurt by falling oil prices,” over the past week, the report noted. “Heavy shorts on agriculturals also proved detrimental. FX slightly added to the losses as short exposure towards the Euro proved detrimental,” while a trend lower in the Austrailian dollar and Japanese yen cushioned some of the losses.
Long / short equity strategies also found difficulty, down -1.1 percent last week alone as many of the Asian managers stumbled. This performance adjustment comes on the back of strong strategy performance at the start of the year. The long / short strategy is up 4.3 percent on the year, beating out the second place event driven strategy, which is up 3.4 percent on the year, as well as topping the equity benchmarks as well. While many long short managers found difficulty last week, the report did note that market neutral long / short hedge funds “were fairly resilient” in what has been a volatile stock market environment, particularly in Europe.
Posted by Bud Fox at 4:43 PM