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Komfie Manalo, Opalesque Asia:

Long term CTAs outperformed in the week ending Aug. 2 with the Lyxor CTA Broad Index up 0.6% (+3.5% YTD) as oil prices drop, supported by the unwinding of long speculative positions. Lyxor Asset Management reported that the Lyxor Hedge Fund Index was down -0.7% (-2.7% YTD) during the same period as appetite for risk edged lower. In that context, strategies with low directionality paid off.

Anne Mauny, research analyst at Lyxor AM said that long allocation to the JPY vs USD was rewarding but the Japanese bond sell-off partly offset the gains. Japanese assets reacted strongly when the BOJ unexpectedly left the door open to large changes in September, including the possible end of negative interest rate policy. Furthermore, the new fiscal plan failed to live up to market expectations. Finally, the appreciation GBP was a detractor last week.

Mauny added, "However, the sterling depreciated after the BoE slashed its growth forecast for 2017 and unleashed a sizeable easing package on August 4. The BoE cut interest rates to 0.25% and expanded its QE. Though we believe that GBP depreciation is well advanced, downside pressures could resume, supporting CTAs’ and macro managers’ short positioning on GBP. Within the hedge fund space, we continue to prefer strategies with moderate market directionality such as L/S equity market neutral and merger arbitrage. We keep a slight overweight stance on CTAs ......................

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