DM focused managers benefited from a short US Dollar view

November was a good month for the Macro strategy. Discretionary macros generated the majority of their gains from a thematic short US dollar view. In rates, short positions in the very back end of the US yield curve also made a positive contribution. Emerging market-focused managers were supported by stronger EM sovereign credit and local rates markets. During the month directional systematic managers outperformed multi-strategy managers.

Equity Edge

Equity Hedge managers were buoyed by strong equity markets

Equities enjoyed a record month in November, with performance determined by Cyclicals. Equity Hedge managers were able to capture most of the rally without being hurt too much on the short side. Nevertheless, Equity Beta was a significant driver of performance, and the historical reversal in Momentum was painful to several managers. Alpha generation was lower compared to other month, and managers with a neutral or systematic bias or without any company-specific driver tended to lag behind.

Event Driven

Increased optimism for a cyclical recovery supports Event-Driven strategies

November was a positive month for the Event-Driven strategies. In a strong month for credit, high-yield bonds saw lower quality outperform as new vaccines boosted optimism for a cyclical recovery. Leveraged loans saw similar dynamics. Special situation equity managers and activists benefited from a net long stance in a positive market backdrop. Merger arbitrage specialists benefited from a spread compression. The potential pick-up in M&A activity now proves that the political uncertainty is behind us.

Relative Value

The rally in risky assets propelled the performance of credit-sensitive strategies

Relative Value managers posted strong returns in November, with gains generated across asset classes and sub-strategies. Global convertibles rallied last month as both “stay-at-home” names and “reopening proxies” climbed higher simultaneously. Structured Credit returns were broadly positive. Within Volatility Arbitrage, dispersion was the main driver of returns and Municipal bonds managers benefited from strong demand and from large issuances.

HF Flash Report

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