Macro

Short US dollar trades hurt Global Macro managers

Discretionary Global Macros generally were modestly positive in January. Short European back-end rates and curve steepeners slightly detracted from performance. FX was negative overall while equities made a small positive contribution. The managers’ reflationary view was also expressed through commodities. EM-focused macros posted negative numbers. Trend followers underperformed multi-strategy quant program in January. Gains in commodities and equities were outweighed by losses in foreign exchange and fixed income. Long positions in the grains and in the crude oil complex were particularly profitable. Equity index results varied by region. In foreign exchange, long positions in the Japanese yen and euro against the US dollar were responsible for much of the sector loss. In fixed income, long positions in North American bonds were particularly challenging.

Equity Edge

Deleveraging and short squeeze negatively impact Equity Hedge managers

Equity Hedge managers came under pressure in January as retail investors pounced on several highly shorted stocks. The detrimental impact of short squeezes was followed by deleveraging, which negatively impacted long books. In terms of sectors, consumer discretionary, technology, communications and healthcare faced the largest deleveraging. As regards market capitalisations, smaller ones enjoyed a very good month. In terms of factors, value massively outperformed.

Event Driven

Solid gains for merger arbitrage specialists and for special situation managers

Event Driven managers posted strong performance in January. Event Driven credit strategies were positive contributors, with levered loans benefiting more than bonds owing to rises in rates. Merger arbitrage specialists and special situation managers harvested solid gains. Within hard catalyst situations, managers benefited from a record number of bumps and counter offers and from a new deal flow.

Relative Value

SPACs and convertible arbitrage continue to drive returns for Relative Value managers

The exact same trends that benefited the Relative Value strategy in 2020 continued in January, with SPACs and Convertible Arbitrage the driving force. Fixed-income arbitrage produced positive returns as well. Long bonds/short swaps arbitrage positions in Europe were a good source of profit. Still in Europe, a heavy options volume opened up profitable volatility term structure strategies.

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