Hedge funds shorting GBP and USD, says Lyxor
16 February 2015 London
Image: Shutterstock
In the context of the release of the inflation report on 12 February, the Bank of England has decided to remove the effective 0.5 percent floor for its benchmark interest rate, according to Lyxor.
The December inflation figure, at 0.5 percent year-on-year, was actually the lowest number registered in the past 15 years.
Against this backdrop, hedge funds have increased their short positioning on the GBP and USD over the last three months. Along with the JPY and the EUR, the GBP is the most aggressively shorted currency by commodity trading advisors and macro managers.
Philippe Ferreira, head of research on Lyxor’s Managed Account Platform, commented: “As we get closer to the 7 May general election, which is likely to result in a hung Parliament, the GBP and USD positioning is also likely to be influenced by the political climate.”
“In January, short GBP positioning generated gains, but month to date the story has reversed, which is illustrative of the broader environment.”
In the US, the S&P500 utilities sector fell 4.1 percent in a context of rising bond yields, according to Lyxor’s weekly brief.
Cyclical sectors outperformed defensive sectors and this trend, which Lyxor claimed is likely to persist, was the key driver behind the performance of the best US manager—which positioned its portfolio towards quality cyclical sectors including financials and consumer discretionary stocks.
Lyxor’s heath care specialist index also continued the strong year-to-date trend benefiting from good support from its largest holdings: Actavis, Gilead, Allergan and J&J.
Continued positive returns from traditional multi-strategy funds on the back of their diversified portfolios also emerged as a trend for the week beginning 9 February 2014.
Event-driven managers posted positive results in the week, with special situations and distressed securities funds being the main drivers of performance, according to Lyxor.
“The performance of special situation managers was boosted by their investments in an undisclosed activist situation in the technology sector and in Hertz whose stock prices both increased by 5 percent,” said Ferreira.
He also added that distressed securities funds “particularly benefited” from a surge of 9 percent of the General Motors stock price.
The December inflation figure, at 0.5 percent year-on-year, was actually the lowest number registered in the past 15 years.
Against this backdrop, hedge funds have increased their short positioning on the GBP and USD over the last three months. Along with the JPY and the EUR, the GBP is the most aggressively shorted currency by commodity trading advisors and macro managers.
Philippe Ferreira, head of research on Lyxor’s Managed Account Platform, commented: “As we get closer to the 7 May general election, which is likely to result in a hung Parliament, the GBP and USD positioning is also likely to be influenced by the political climate.”
“In January, short GBP positioning generated gains, but month to date the story has reversed, which is illustrative of the broader environment.”
In the US, the S&P500 utilities sector fell 4.1 percent in a context of rising bond yields, according to Lyxor’s weekly brief.
Cyclical sectors outperformed defensive sectors and this trend, which Lyxor claimed is likely to persist, was the key driver behind the performance of the best US manager—which positioned its portfolio towards quality cyclical sectors including financials and consumer discretionary stocks.
Lyxor’s heath care specialist index also continued the strong year-to-date trend benefiting from good support from its largest holdings: Actavis, Gilead, Allergan and J&J.
Continued positive returns from traditional multi-strategy funds on the back of their diversified portfolios also emerged as a trend for the week beginning 9 February 2014.
Event-driven managers posted positive results in the week, with special situations and distressed securities funds being the main drivers of performance, according to Lyxor.
“The performance of special situation managers was boosted by their investments in an undisclosed activist situation in the technology sector and in Hertz whose stock prices both increased by 5 percent,” said Ferreira.
He also added that distressed securities funds “particularly benefited” from a surge of 9 percent of the General Motors stock price.
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