Macro managers build short positions
15 May 2015 London
Image: Shutterstock Global macro managers that have built up short positions on European rates proved to be resilient overall in April, according to a brief from Lyxor.
Some macro managers were up 2 percent while others, which were most exposed to European equities, were down 1 percent.
In the commodity trading advisor (CTA) space, Lyxor’s data showed that losses were broad-based and reached high single digits in some cases.
Philippe Ferreira, head of research for Lyxor’s managed account platform, commented: “The bond market selloff that took place in Europe appears to be the result of several factors: rich valuations, a rebound in energy prices lifting inflation expectations and improved growth conditions in the region.”
According to Ferreira, the extent of the price action is technical and partly related to the fact that, in “thinly traded” markets due to the European Central Bank quantitative easing, macro managers have been increasing their short positioning on European rates.
He continued: “Several prominent fixed income managers have been vocal on the opportunity to short the Bund a few weeks ago, and, from what we can see in the industry, have actually implemented these views within their portfolios.”
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