The Lyxor Hedge Fund Index was slightly down by 0.3 per cent in January, with seven out of 10 Lyxor indices in positive territory, according to the latest Lyxor AII Barometer, with micro-focused strategies outperforming macro traders.
Event driven delivered strong results on the back of buoyant M&A activity in the US and positive surprises in corporate earnings.
CTAs and macro managers suffered from the depreciation of the dollar.
“The Q4 earning season is seeing a material recovery in most regions and in a majority of sectors. However, trading volumes and stock returns following earnings report were moderate, a sign that investors expect further evidences of the global reflation,” says Jean Baptiste Berthon (pictured), senior cross-asset strategist, Lyxor Asset Management. “The alpha environment is not as strong as it was in the aftermath of the US elections, after stock dispersion receded. But low stock correlations and a greater focus on company specifics remain supportive for active managers, and fundamental stock pickers in particular.”