First Signs of Policy Normalization bring Dispersion in Hedge Fund Returns

A “normalization trade” that started in January and brought volatility into the market environment in February is causing near term returns dispersion in hedge fund returns, a market brief from the Lyxor Managed Account Platform observes.

Lyxor: Market environment shift noted in market volatility

The report notes that as January was marked by deflationary pressures, featuring lower interest rates and commodity prices across the board. As February is proving to be a volatile month in these asset classes, this, in turn, has shaken performance trends. Previous winners, such as managed futures CTAs and long / short equity funds, are now under performing.

This juxtaposition occurs as strategies that...