Komfie Manalo, Opalesque Asia: Speculations about a pending move by the U.S. Fed to raise interest rates have been uninspiring in the US. This has led investors to take profits on both equities and bonds after the summer lull. Long term CTAs suffered a blow due to recent market turbulence as the Lyxor CTA Broad Index dropped -5.8% from the week ending 13 September (-2.7% YTD), Lyxor Asset Management said.
In its Weekly Briefing, Lyxor said that market concerns over a premature rate hike by the Fed has negatively impacted equity and bond markets, two assets on which CTAS had long net exposures at the start of September. L/S Equity markets were also down last week, though market neutral players were flat to slightly positive.
Philippe Ferreira, senior strategist at Lyxor AM, commented, "The drawdown on equities and bonds, an unusual positive correlation, has caused losses on risk parity and CTA funds. The latter experienced a drawdown that is comparable with previous episodes of jumping correlations in Q2-13 and Q2-15. L/S Equity funds were also down last week, though market neutral players were flat to slightly positive."
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