L/S Equity managers have decently navigated these markets, generating small positive alpha (especially on their short positions) but their implicit stance is diverging across regions. U.S. managers detracted only marginal alpha. They maintained their modest overall exposures throughout September and further reduced them early October, keeping limited factor tilts.
Economic prospects in Europe are noticeably improving. The new wave of virus infections since late fall 2020 led to tighter
mobility restrictions, which delayed the European recovery. High frequency indicators suggest economic activity was down
around 20% from normal over Q1.
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.
Within its equity allocation, CPR Asset Management has accentuated its bias in favor of value and cyclical assets, for example via global Value ETFs, lines on European markets, in the banking sector, energy or ETFs on commodities ...
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...