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Alternative Market Briefing

CTAs continue to outperform as hedge funds gain

Tuesday, July 12, 2016

Komfie Manalo, Opalesque Asia:

Last week was supportive for hedge funds, with all strategies ending in positive territory. The Lyxor Hedge Fund Index was up 0.6% (-3.0% YTD), fueled by the strong performance of CTAs. CTAs thrived from their positions last week, said Lyxor Asset Management in its Weekly Briefing.

The fixed income bucket was again the main positive contributor, as sovereign bond yields continued to fall. The equity and commodity buckets were profitable as well. Short positions on the GBP also paid off.

"As a result of the market rebound, more directional strategies outperformed last week: long bias, special situations (within event-driven) and L/S credit outperformed," Philippe Ferreira, senior strategist at Lyxor AM said.

CTAs winning streak continues

Lyxor said that market developments after the Brexit referendum were somewhat puzzling. The market decline was short lived and risk assets rebounded as if nothing disruptive had happened. The MSCI world is up 5.7% since June 27th (up to July 8th) and is now close to year-to-date highs. Additionally, credit spreads narrowed in the U.S., Europe and emerging markets.

Nonetheless, other market segments provided a contrasting picture. Bond yields continued to fall to record lows in the developed world. Ten-year Treasury yields fell below 1.4% last week, setting a new record. The German sovereign yield curve is in negative territory up t......................

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