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Alternative Market Briefing

Short term CTAs, emerging market funds outperform

Tuesday, October 14, 2014

Komfie Manalo, Opalesque Asia:

Short term CTAs and less correlated strategies such as multi strategy, dividend futures and emerging market funds have been able to navigate the market turmoil the past week, according to data compiled by Lyxor Asset Management’s Weekly Brief.

Philippe Ferreira, Lyxor AM’s head of research, managed account platform, said that as the Fed’s QE exit approaches and recession fears in the eurozone resurface, market tensions have shown to be on the rise last week. Stocks and commodities are sharply down, equity volatility is up and bond yields have fallen to levels last reached in Q2-13 during the taper tantrum. Interestingly, emerging markets (both equities and bonds) and cash credit have proven resilient.

He added, "On the negative side, special situations extended their losing streak. They suffered from negative events impacting specific issuers such as Fannie Mae and Freddie Mac. This is taking place in the wake of a court ruling on September 30 that rejected the claim by investors that the sweep on the profits of the entities imposed by the U.S. Treasury a few years ago was an illegal 'taking’. Since this announcement their stock price has fallen by 40%."

Short term CTAs outperform

CTA strategies on the platform faced a difficult week, said Ferreira. The sharp reversal on equities (the Eurostoxx 50 is down 4.4%) being the major factor of this bad performance. "Therefore, fu......................

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