Komfie Manalo, Opalesque Asia: The weakening demand for oil, increasing U.S. production and the OPEC
decision to maintain quotas triggered another plunge of oil prices, down
almost 40% since mid-June. The sell-off was particularly severe last
week and also impacted hedge funds, according to the latest Lyxor Asset Management’s
Weekly Brief.
CTAs are up 1.5% over the week as short positions on commodities,
including oil, once again proved to be a driver of performance. CTAs had
nonetheless a diversified source of gains, posting profit on equities,
rates, and FX. This implies the strategy could prove resilient if oil
prices experience a (short lived) rebound, said Philippe Ferreira, Lyxor
AM’s head of research, managed account platform.
He continued, "Global macro managers, in turn, are long energy on the
back of their constructive outlook on global growth. Yet, the strategy
is up 0.3% this week as most energy bets are played via relative trades
on the curve or between Brent and WTI, rather than outright longs."
The Lyxor Hedge Fund Index started December on a slightly negative
performance, down -0.1%.
CTAs continue their upswing on the back of tumbling oil prices and a
weak euro. The Lyxor CTA Broad index is up 1.5%, bringing the QTD
performance to 5.1%. Both LT and ST models contributed to this strong
performance, respectively up 1.6% and 1% over the week.
Ferreira explained that the implicatio...................... To view our full article Click here
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