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Alternative Market Briefing

Long term trend following CTAs recover performance in November

Tuesday, December 10, 2013

Beverly Chandler, Opalesque London:

Lyxor’s latest report finds things are improving on the performance front across the board but for CTAs in particular. The firm reveals that 10 out of 13 of the Lyxor Indices ended the month of November in positive territory, led by the CTA Long Term Index (+4.2%), the L/S Equity Market Neutral Index (+1.7%) and the CTA Short Term Index (+1.6%). The Lyxor Hedge Fund Index posted a positive performance close to 1% in November (+5.8% YTD).

"Long term trend followers significantly outperformed in November as both the upward trend in risky assets and currency movements were supportive." says Philippe Ferreira, Head of Research and External Relations at Lyxor Managed Account Platform.

Lyxor writes that financial markets remained conducive to hedge funds in November. "Macro data published over the month was mixed but monetary policy kept erring on the dovish side particularly in Europe where the ECB cut the refi rate. The strong provision of liquidity fuelled the rise in equity and credit markets and allowed a further drop in correlations between (and within) asset classes. Hedge funds took advantage of the rising opportunity set to add alpha to their beta returns, showing solid performances. The Lyxor Hedge Fund index gained 0.6% over the period and is up 5.5% year-to-date."

CTAs finally had something to smile about in November with the strongest performance thanks to the equity uptrend ......................

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