Komfie Manalo, Opalesque Asia: Hedge funds were slightly up in the week ending 16 February with the
Lyxor Hedge Fund Index up 0.1% (-2.9% YTD) as the political leaders in
the European Union are fighting over United Kingdom’s future presence in
the EU and the financial markets erred on the side of caution.
Lyxor said that based on its proprietary data on hedge funds
positioning, it noted that CTA and global macro strategies maintain
sizeable short positions on the GBP vs USD.
Philippe Ferreira, a senior strategist at Lyxor AM, commented, "The short positioning of such
strategies reflects Bank of England backtracking from its previous
hawkish tone. Coupled with the weakness in UK industrial production,
disinflationary pressures have contributed to reverse the BoE stance.
The hedge fund positioning of CTAs is, by definition, not a bet on
Brexit. Most CTAs in our sample are trend followers and followed the
downward trend of the cable."
However, he said that the sharp rise in the one-year implied volatility
in GBP/USD – which has jumped above 11 vols for the first time since the
huge market disruption of the summer of 2011 – signals market
nervousness.
Ferreira continued, "Over the course of February, we observe that global
macro managers have increased their short stance on the GBP vs USD.
While the short stance appears moderate overall, it is important to note
that there are large discrepancies...................... To view our full article Click here
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