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Alternative Market Briefing

CTAs post highest monthly gains in November since 2002

Tuesday, December 02, 2014

Komfie Manalo, Opalesque Asia:

Hedge funds delivered healthy returns in November, a welcome development following the October drawdown, according to the latest Lyxor Asset Management’s Weekly Brief.

The Lyxor Hedge Fund Index was up 1.8% last month, mainly supported by CTAs and to a lesser extent by Event Driven managers. In November, CTAs delivered their best month in more than ten years, up 8.2%. This has taken place on the back of the combination of rising equity markets and falling bond yields, an unusual combination since the U.S. recovery is getting firmer (real GDP growth in Q3 was revised up at 3.9% last week). Meanwhile, the appreciation of the USD against the EUR and the JPY along with falling commodity prices also contributed significantly to record returns this month.

CTAs and Event Driven ended November on a strong note, up respectively 2% and 1% last week. This brings the weekly return of the Lyxor Hedge fund index to 0.9% (MTD 1.8%). This upswing is mainly supported by rising equity markets and decreasing bond yields in both the U.S. and European markets.

On the Event Driven side, managers recovered in November, up 2%, with Special Situations funds leading the pack, up 4.4%. The strategy has managed to offset a significant part of October's losses.

Philippe Ferreira, Lyxor AM’s head of research, managed account platform, said, "Event Driven registered a solid upswing in November, recovering ......................

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