Macro

Volatile markets impact the performance of Systematic managers

October was a neutral month Global Macro managers. Markets proved to be relatively choppy but volatile across most asset classes. As a result, systematic managers suffered from the reversal in equity markets during the last week of the month. Developed Markets-focused funds benefited from a steepening of the US yield curve and a net receiving stance in European fixed income. A thematic short US dollar positioning generally detracted from performance. Emerging Markets macros generated profits from a thematic short EM FX exposure.

Equity Edge

A good month, but challenging in the last week for the Equity Hedge managers

Equity Hedge managers fared relatively well in October despite giving back most of the gains at the end of the month. During the last week a sector rotation has taken place outside the technology and health care sectors ahead of the US elections. Alpha came from the short side that worked well and the manager's long portfolio that held up better than their markets of reference. From a regional standpoint, October was led by the Asian funds, followed by US and Europe focused managers.

Relative Value

The Convertible Bond arbitrage strategy continues to drive the performance

Relative Value managers posted a modestly positive month, albeit continuing to provide uncorrelated returns. Convertible managers continued to generate gains despite revaluation and issuance taking a bit of a breather, while SPAC trading detracted from performance. In Structured Credit, down-in-credit securitized products underperformed high yield, and in Equity Volatility short medium-term US Vega positions incurred losses as the worries surrounding the election pushed volatility higher.

Event Driven

The encouraging overall pick up in M&A activity continues in October

Event Driven managers posted mixed results in October. Credit and structured credit continue to be solid sources of P&L for Event Driven multi strategy funds. The encouraging pick-up in M&A activity continued in October and M&A specialists are increasing dry powder to take advantage of potential volatility ahead. Equity-based Special Situations and Activists managers saw most of their early-on October gains fading over the second half of the month.

HF Flash Report

Sign up to receive our publications

Disclaimer

This document is not intended for persons who are citizens of, domiciled or resident in, or entities registered in a country or a jurisdiction in which its distribution, publication, provision or use would violate current laws and regulations. In particular, investment funds or any other collective placement instruments which have not been authorised for public offering in the investor’s country of domicile may only be offered as private placements to qualified investors. Additional investment restrictions may be provided for in the official offering documentation (available upon request). The information and data furnished in this document are disclosed for information purposes only; the Pictet Group is not liable for them nor do they constitute an offer, an invitation to buy, sell or subscribe to securities or other financial instruments. Furthermore, the information, opinions and estimates in this document reflect an evaluation as of the date of initial publication and may be changed without notice. Information and opinions presented in this document have been obtained from sources believed to be reliable, and, although all reasonable care has been taken, the Pictet Group is not able to make any representation as to its accuracy or completeness. The value and income of the securities or financial instruments mentioned in this document are based on rates from the customary sources of financial information and may fluctuate. The market value may vary on the basis of economic, financial or political changes, the remaining term, market conditions, the volatility and solvency of the issuer or the benchmark issuer. Moreover, exchange rates may have a positive or negative effect on the value, the price or the income of the securities or the related investments mentioned in this document. Past performance must not be considered an indicator or guarantee of future performance, and the addressees of this document are fully responsible for any investments they make. No express or implied warranty is iven as to future performance. Investors shall conduct their own analysis of the risks (including any legal, regulatory, tax or other consequence) associated with an investment and should seek independent professional advice. The content of this document is confidential and can only be read and/or used by its addressee. The Pictet Group is not liable for the use, transmission or exploitation of the content of this document. Therefore, any form of reproduction, copying, disclosure, modification and/or publication of the content is under the sole liability of the addressee of this document, and no liability whatsoever will be incurred by the Pictet Group. The addressee of this document agrees to comply with the applicable laws and regulations in the jurisdictions where they use the information reproduced in this document. This document is issued by the Pictet Group. This publication and its content may be cited provided that the source is indicated. All rights reserved. Copyright 2020.