The strategy was up 0.7% for the month of March on an aggregate basis, and is now up 3.4% for the year, as measured by the HFRX Macro/CTA index.
According to Anthony Lawler, a portfolio manager at GAM, March saw a ‘helpful continuation of global macro themes’. “Coming into March, many macro managers continued to hold positions that had worked over the past several months – long the US dollar against the euro, long sovereign fixed income in Europe and the US, and long equities in Japan and Europe,” he noted.
“This positioning proved helpful early in the month, and then when some managers reduced risk levels into the March 18th Fed meeting, it resulted in a smaller performance loss when the dollar weakened after the Fed meeting,” Lawler added.
These positive returns were achieved despite a 1.8% fall in the MSCI World index in March.
Against this mixed global backdrop, hedge funds as a whole performed broadly positive in March with the HFRX Global Hedge Fund index up 0.3% for the month, bringing the year-to-date gains to 2.1%, GAM said.
“The four main hedge fund strategies each produced a positive quarter, and the outlook remains encouraging in the months ahead, continued Lawler. “We expect to see dispersion across geographies continue which is helpful for global macro and relative value trades, and we also expect to see an increase in dispersion within equities, which is positive for equity hedge managers. For global managers, finding the right geographies has been important, while for region-focused managers it has been important to select the sectors and single securities that will most benefit from the unfolding environment.”
“As always there are risks to this outlook – a surprise reversal in policy or a geopolitical shock would hurt some positions,” Lawler cautioned. “But overall the outlook for 2015 remains positive for active managers as we expect to see a continuation of dispersion rather than a correlated risk on/ risk-off environment.”
