Hedge fund managers in aggregate suffered little damage in the previous two weeks from the removal of the euro cap on the Swiss franc by the Swiss National Bank, and some strategies “stand to win” from the European Central Bank's monetary expansion program, Lyxor Asset Management research showed.
The impact of the sudden rise of the Swiss franc on Jan. 15 was “positive for (commodity trading advisers) and negligible for global macro and long/short equity managers,” wrote Philippe Ferreira, head of research, in Lyxor's latest research report, released Monday.
The year-to-date return as of Jan. 20 of the multistrategy Lyxor Hedge Fund index was 0.3% compared to 4.2% for the Lyxor CTA Broad index and 1.5% for the Lyxor Global Macro index, while the firm's L/S Equity Broad index came in at 0.4%, Mr. Ferreira's data showed.
The ECB's quantitative easing program to “reflate” the eurozone economy likely will benefit global macro and CTA managers that are both long European equities, which responded well to the Jan. 22 QE announcement, and short the euro vs. the U.S. dollar, Mr. Ferreira forecasted. The euro continues to deteriorate vs. the U.S. dollar since the QE program was unveiled, he said.
Lyxor research showed that as of Jan. 13, CTA managers' net exposure to the euro vs. the U.S. dollar was about 50% short and global macro managers were about a net 25% short the paired currency trade.
