Macro managers build short positions 15 May 2015London Reporter: Stephen Durham
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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鈥檚 data showed that losses were broad-based and reached high single digits in some cases.
Philippe Ferreira, head of research for Lyxor鈥檚 managed account platform, commented: 鈥淭he 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.鈥�
According to Ferreira, the extent of the price action is technical and partly related to the fact that, in 鈥渢hinly traded鈥� markets due to the European Central Bank quantitative easing, macro managers have been increasing their short positioning on European rates.
He continued: 鈥淪everal 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.鈥�
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