Momentum stocks experienced a correction since Pfizer announced their Covid-19 vaccine results early November. Performance has nonetheless stabilized over the course of March, as the rebound in Value stocks has been persistent and started to be shown in the Momentum risk factor.

With investors questioning the sustainability of equity valuations in a context of rising bonds yields, a Momentum reversal in equities is taking shape. Defensive sectors, and more recently Technology stocks, faced downward pressures while Financials and Energy rallied...

In recent months, Market Neutral L/S strategies underperformed other hedge fund strategies, in a context where risk assets rallied following the Pfizer vaccine announcement in November 2020. While the strategy is not designed to capture the equity market beta, the alpha contribution has declined since Q4-2020.

In the space of alternatives, Global Macro strategies have embraced reflation trades in the past quarter, scaling up positions on EM FX, equities, commodities and inflation linked bonds at varying degrees.

We see the alpha environment in Japan improving in 2021. First, we expect a more supportive macro backdrop, setting the stage for a wider set of investment themes. Japan's second wave of Covid-19 has peaked and its impact on activity looks manageable so far and will likely lead to stronger economic growth in Q2.