Gilt wobbles fuel global macro strategies

Lyxor
By September 19, 2017 06:11

Gilt wobbles fuel global macro strategies

The Weekly Brief 

Mounting signals that the latest leg of the bond market rally has started to reverse fueled hedge fund strategies last week. Most recent inflation prints outpaced expectations both in the U.S. and the U.K., as consumer prices rose +1.9% and +2.9% year-over-year in August, respectively. Sovereign bond yields rose in developed markets, in particular in the U.K, and yield curves steepened somewhat. Meanwhile, equity markets extended their winning streak both in developed and emerging markets. Such developments have been largely supportive for hedge funds, with all strategies in positive territory last week. Fixed income arbitrage strategies outperformed, which is in line with our expectations in a rising yield environment. Global Macro managers delivered upbeat returns from their short Gilt allocations, despite the mild loss occurred from short GBPUSD positions. Macro managers were also fueled by their preference for European stocks vs. U.S. stocks. 

Lyxor
By September 19, 2017 06:11

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