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Posts From Lyxor

Dollar Depreciation Helps CTAs

Dollar Depreciation Helps CTAs

🕔11:30, 30.Nov 2020

The Weekly Brief Since the U.S. presidential election on November 3 th, the USD has started a descent that may have legs under the new administration. The easing of trade tensions and an accommodative policy mix could put additional pressure

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Merger arbitrage firms up despite equity plunge

Merger arbitrage firms up despite equity plunge

🕔15:05, 6.Nov 2020

Amid the sound and fury of renewed Covid-19 lockdowns across Europe, global equities took a plunge at the end of October, bringing the MSCI World down -3% for the full month. Bonds did not provide much protection, as fiscal stimulus

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Our thoughts on the rally in momentum stocks

Our thoughts on the rally in momentum stocks

🕔11:29, 20.Oct 2020

The weekly brief Momentum is a strategy which buys stocks trending higher and sells stocks on a downtrend within an index. It is systematic and has no considerations for earnings, valuation, or other fundamental metrics such as dividends. Historically, it

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As long as Central Bank Music Plays

As long as Central Bank Music Plays

🕔11:08, 29.Jul 2020

Virus containment is progressing unevenly, advanced in Europe and Asia, but concerning in the U.S. and Latin America. Meanwhile, lockdown easing and economic reopening is accelerating worldwide. With a full global economic recovery priced-in for 2021 and stimulus reflected in

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What are activists buying after the storm?

What are activists buying after the storm?

🕔07:39, 16.Jun 2020

The Special Situations strategy went through a roller coaster since February. Typically, due to their long structural market beta, managers tend to underperform in risk-off episodes. However, as they also tend to look beyond short-term volatility, they usually rebound faster.

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A Q1 Earning Season Like No Other

A Q1 Earning Season Like No Other

🕔10:41, 14.May 2020

Two thirds of the S&P 500 companies have now reported. Earnings are expected to settle at -14% in Q1 y/y, with the steepest drops in the consumer discretionary, financial, industrial, base material, and energy sectors. Revenues would grow only +0.5%

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Equity and Fixed Income markets – Q1 2020:

Equity and Fixed Income markets – Q1 2020:

🕔12:41, 27.Apr 2020

Lyxor mutual fund selection After an exceptional year in 2019 for risky assets, the first of quarter 2020 proved to be an unprecedented period in market history. The rapid spread of the Coronavirus led to a sell-off across the board

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Ctas As Shock Absorbers

Ctas As Shock Absorbers

🕔09:44, 17.Apr 2020

Market conditions improved in the wake of the aggressive Federal Reserve announcements to tame risks in the financial system (link). The MSCI World bottomed on March 23rd and rose more than 20% since then, leaving the broad equity market benchmark

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L/S Credit Survives Armageddon and Waits for Entry Points

L/S Credit Survives Armageddon and Waits for Entry Points

🕔14:06, 23.Mar 2020

The weekly brief The crash in credit markets this week levelled with that of the 2008 financial crisis. Spreads widened at unprecedented velocity, in extreme trading volumes. U.S. and EU HY indices were down about -7%, with record outflows. Credit

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CTAs lead the pack on global risk appetite. what’s next?

CTAs lead the pack on global risk appetite. what’s next?

🕔08:08, 28.Feb 2020

Risk assets have largely shrugged off recent headwinds on the back of robust macro and corporate dynamics in the U.S. The Q4-2019 earnings season delivered better than expected outcomes especially in the Technology sector. Meanwhile, labor market conditions remain buoyant

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Hedge Fund reactions to the coronavirus

Hedge Fund reactions to the coronavirus

🕔13:52, 6.Feb 2020

Uncertainty remains but we still expect a transitory economic impact from the Coronavirus outbreak. In a best- case scenario, authorities measures could help reverse the trend within weeks, with containment by the end of Q1. In a base-case scenario, the

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Which alternative strategy to hedge against abond sell-off?

Which alternative strategy to hedge against abond sell-off?

🕔15:20, 7.Jan 2020

The year that has just started will challenge investors’ expectations, just as 2019 eventually contradicted the bearish mood that prevailed one year ago. For the time being, risk appetite remains strong and we believe it is unlikely to be derailed

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Skating on thinner Ice

Skating on thinner Ice

🕔11:04, 24.Dec 2019

 Macro and Market Views The year may well end as it started: on a strong note. 2019 will probably be remembered as a year when it was very costly to be O/W cash compared to anything else. After such an

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Alpha Potential for China-focused Hedge Funds

Alpha Potential for China-focused Hedge Funds

🕔15:46, 9.Dec 2019

The Weekly Brief There are structural reasons as to why Chinese equities could provide a fertile ground for alpha. First, flows into China could support both beta and alpha. China accounts for only 8.5% of the world market cap, in

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Money Monitor October 2019 A look back at European ETF market flows last month

Money Monitor October 2019 A look back at European ETF market flows last month

🕔10:59, 28.Nov 2019

An Indian summer for European ETF flows After the records we saw set in September, European ETFs continued to enjoy steady inflows in October and gathered €10.7bn. Those inflows were predominantly driven by equity (+€5.3bn) and fixed income (+€2.7bn). Flows

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Macro And Hedge Funds Q1 2020 Outlook

Macro And Hedge Funds Q1 2020 Outlook

🕔09:08, 27.Nov 2019

Soft manufacturing surveys are bottoming out, pointing to a turn in hard data. Monetary accommodation and less uncertainty on most trade fronts have been key contributors to this inflection, as well as front-loading ahead of the September tariffs. A modest

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The Cta hangover Probably Came To An End

The Cta hangover Probably Came To An End

🕔09:11, 22.Nov 2019

Managed Futures remains the best performing alternative strategy year-to-date, up 9.2% according to our estimates. But after a massive rally up to end-August, the hangover came with a sharp rise in bond yields in the past couple of months. The

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The Delicate Art Of Profit Allocation

The Delicate Art Of Profit Allocation

🕔16:29, 21.Nov 2019

The coming months will bring with them a change in context. In addition to the five major sources of uncertainty that have rocked the market since the beginning of the year, there is now a new feature in the landscape:

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Small,medium,large hf: how to choose?

Small,medium,large hf: how to choose?

🕔12:09, 18.Nov 2019

Should alternative portfolios favor smaller, medium, or larger hedge funds? The choice might not be as obvious as before and may be more dependent on the stage of the business cycle. For many years, small hedge funds have steadily outperformed

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What The Earnings Season Can Tell Us About Alpha

What The Earnings Season Can Tell Us About Alpha

🕔13:10, 1.Nov 2019

Earnings seasons provide valuable insights on alpha. They track inflections in business dynamics, which are key catalysts for stock selection. They also provide a barometer on investors’ readings on and interest for companies’ fundamental changes, with limited noise from other

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Stock-Picking Alpha Q4 outlook

Stock-Picking Alpha Q4 outlook

🕔15:10, 24.Oct 2019

Active strategies’ relative performance in Q3 were slightly weaker than in Q2, though uneven across regions. Uncertainties soared early in Q3 with the breakup of the summer U.S.-China trade truce and bold British PM Johnson’s tactics. Later, signs of a

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ETF insights | Measuring ETF impact on financial markets

ETF insights | Measuring ETF impact on financial markets

🕔18:25, 30.Sep 2019

Why using ESG helps you build better portfolios Increasingly, investors are integrating ESG considerations into their portfolios. However, there’s still a widespread belief that investing sustainably means giving up on potential returns. In this paper, we focus on the role

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Good Luck With Timing Ctas Favor Core Allocation

Good Luck With Timing Ctas Favor Core Allocation

🕔12:26, 25.Sep 2019

Timing CTAs is notoriously challenging. Monitoring their exposures provides a useful picture but has rarely been a reliable allocation method. They enjoyed an impressive rally this year, mainly supported by their long bond positions, which fueled high CTAs returns’ auto-correlations.

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The impact of ESG momentum on valuations

The impact of ESG momentum on valuations

🕔18:57, 9.Sep 2019

How changes in ESG ratings affect price Can you do well by doing good? Environmental, social and governance (ESG) investing has undeniably begun its ascent to the mainstream. This trend not only suggests investors are more readily prepared to pursue

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Outlook: Holding on to Hope

Outlook: Holding on to Hope

🕔17:49, 23.Aug 2019

Equity markets have now fully recovered lost ground after the U.S. stepped up tariffs on China imports in early May. Bullish sentiment has been fueled by expectations of a reboot of U.S.-China trade talks and central banks cuts. Earnings momentum

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EM macro strategies benefit from the FED tailwind

EM macro strategies benefit from the FED tailwind

🕔15:06, 13.Jun 2019

The Weekly Brief Last week Lyxor Cross Asset Research team addressed the positive performance of CTA strategies during the market downturn, which started a few weeks ago and dragged global equities nearly -6% lower in May. This fact is nonetheless

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The Alpha/Beta Allocator

The Alpha/Beta Allocator

🕔15:02, 2.Jun 2019

6 steps to a better portfolio After a disappointing year in 2018, active managers have bounced back to a degree, notably in fixed income. 

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CTAs: Green shoots of recovery?

CTAs: Green shoots of recovery?

🕔13:06, 26.Feb 2019

The Weekly Brief The recent U-turn of major central banks from monetary normalization to renewed accommodation beat market expectations. In particular, the minutes from the FOMC meeting held on 29-30 January suggested the likely ending of the balance sheet runoff

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Why event-driven should be preferred to L/S equity

Why event-driven should be preferred to L/S equity

🕔13:02, 12.Feb 2019

The Weekly Brief Data crunchers are finding little evidence of a growth deceleration in the U.S. so far in 2019. The job market remains buoyant and business surveys signal robust manufacturing activity in January. On the contrary, in the euro

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What a difference a month makes

What a difference a month makes

🕔13:03, 5.Feb 2019

The Weekly Brief In recent weeks, market conditions switched swiftly from panic mode to exuberance mode. Active investors are scratching their heads as markets no longer seem to be discounting a U.S. recession and any Fed rate hike in 2019.

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Hedge fund positioning after the storm

Hedge fund positioning after the storm

🕔14:04, 30.Jan 2019

The weekly brief The market rebound started at end of December has taken place amid an easing of trade tensions and hopes that a no-deal Brexit will be avoided. A softer stance from major central banks has also been supportive.

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Why Merger Arbitrage Should Continue To Do Well

Why Merger Arbitrage Should Continue To Do Well

🕔13:04, 22.Jan 2019

The Weekly Brief The market rebound since end of December is in stark contrast with the adverse conditions that prevailed in December for risk assets. In our view, the main reasons behind the turnaround are related to: i) a softer

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2019 Hedge funds outlook favoring low beta as a start

2019 Hedge funds outlook favoring low beta as a start

🕔14:04, 9.Jan 2019

The weekly Brief 2018 ended with investors hesitating between several scenarios, which led to widely different performance patterns. Summarized below, none can fully explain alone recent prices actions. We do not expect a recession, rather we anticipate a global growth

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Braving the elements

Braving the elements

🕔05:00, 6.Dec 2018

Investment Strategy Richly valued assets Firmer underlying inflation Heterogeneous monetary policy Doubts on global growth

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Hedge Funds agree on where rates are going

Hedge Funds agree on where rates are going

🕔13:04, 4.Dec 2018

The Weekly Brief The confirmation of a changing Federal Reserve System’s ("Fed”) tone and hopes for a truce in the U.S. trade standoff both supported risky assets this week. Rates have been trending down since mid-November, in sync with a

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European Equity Spotlight

European Equity Spotlight

🕔17:02, 3.Dec 2018

Homeward bound  European equities have recently returned to favour with investors, probably because valuations don’t look as demanding as they do over the pond.

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CTA’s oil deleveraging is over

CTA’s oil deleveraging is over

🕔13:03, 20.Nov 2018

The Weekly Brief Doubts about global growth eventually caught up with oil prices when supply risk unexpectedly eased. Over the summer, spiking oil prices and assurance from the U.S. that no sanction waiver on Iran crude imports would be granted,

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Braving The Elements

Braving The Elements

🕔05:03, 20.Nov 2018

Outlook Q4 2018 Gradual weakening of manufacturing momentum More resilient services sector Global economic expansion still solid, but risks to the downside

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CTAs lag the fragile market recovery

CTAs lag the fragile market recovery

🕔13:04, 13.Nov 2018

The Weekly Brief Equity markets seem to have reached a low after the recent sell-off but the recovery has been uneven. U.S. and Japan equities have risen 5% since the trough on October 29th while EMU equities are lagging (+2%).

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Braving The Elements

Braving The Elements

🕔05:03, 9.Nov 2018

Fourth Quarter 2018 Trade tensions further deteriorated as the U.S. slapped tariffs on another $200bn worth of imports of Chinese goods, and threatened to go all the way by taxing all Chinese imports, or a total of $505bn. The dispute

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Why we would start reweighting US stock-pickers

Why we would start reweighting US stock-pickers

🕔13:04, 6.Nov 2018

The weekly brief We are past the peak of the U.S. earnings reports. In the past, any unusually high individual stock volatility after an earnings announcement was a pattern that only appeared at macro inflection points. The Q3 season tells

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Fixed Income: Temporary weakness or a new reality?

Fixed Income: Temporary weakness or a new reality?

🕔06:02, 25.Oct 2018

Investment Strategy A more challenging environment as central banks call a halt to quantitative easing Corporate and EM yields impacted by idiosyncratic themes Where to seek fixed-income opportunities?

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The Alpha/Beta Allocator

The Alpha/Beta Allocator

🕔06:01, 29.Sep 2018

Active managers found their ability to generate alpha constrained by economic and political uncertainty in H1, with only 33% of them outperforming – down from 44% in 2017. Read on for more on what happened, what happens next and how

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Co- and direct investments is where the puck is going in a big way

Co- and direct investments is where the puck is going in a big way

🕔05:03, 26.Sep 2018

Opalesque Round Table Co-Investments are equity, debt or other exposures offered by fund managers to their investors directly in the portfolio companies, project or trade in which they invest. They can offer access to high-conviction ideas and differentiated return streams

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What happened to hedge funds’ alpha since the summer?

What happened to hedge funds’ alpha since the summer?

🕔05:04, 25.Sep 2018

The Weekly brief While hedge fund performance and alpha were honorable until the summer, our analysis suggests that they erased about 2.5% of alpha since June, with no turn in sight yet in September.

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Choppy Waters

Choppy Waters

🕔06:02, 21.Sep 2018

Investment Strategy Marginal Preference for Equity over Bonds… Prepare for more Volatility Central banks slowly pulling out of the game  Protectionism & politics pivotal in H2 …

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Cross-currents drag L/S equity lower

Cross-currents drag L/S equity lower

🕔15:03, 20.Sep 2018

The weekly brief It’s been a puzzling start to the month. A sector rotation in equity markets has fueled defensive sectors such as telecommunications services and utilities in the U.S. Meanwhile, the détente in Italy in a context where political

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Cross-Currents Drag L/Sequity Lower

Cross-Currents Drag L/Sequity Lower

🕔05:01, 18.Sep 2018

The Weekly Brief It’s been a puzzling start to the month. A sector rotation in equity markets has fueled defensive sectors such as telecommunications services and utilities in the U.S. Meanwhile, the détente in Italy in a context where political

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Ctas Make The Most Of A Volatile August

Ctas Make The Most Of A Volatile August

🕔14:04, 17.Sep 2018

Hedge Fund brief European investors bore the brunt of the market turmoil over the course of August. Turkey’s currency crisis and the widening of Italian sovereign spreads translated into an underperformance of European assets versus the U.S., both equities and

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A relatively positive summer for European ETFs

A relatively positive summer for European ETFs

🕔06:01, 13.Sep 2018

Net new assets in the European ETF market nearly halved in August after they fell to €2.2bn from the €4.1bn we saw in July. Equities gathered the bulk of the inflows (€2.9bn) and are up significantly (+70%) since July. US

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