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Komfie Manalo, Opalesque Asia:

CTAs outperformed in the week as of Sept. 06 while global macro managers underperformed, both differently impacted by the U.S. dollar weakening, Lyxor Asset Management said in its Weekly Briefing. The Lyxor CTA Broad Index was up 1.2% during the week (+3.2% YTD), while the Lyxor Global Macro Index fell -0.9% (-6.8% YTD). The Lyxor Hedge Fund Index ended the week flat (-1.9% YTD).

Lyxor said that models benefited from disappointing U.S. economic data (job market and ISM) that pushed the USD and U.S. 10-year bond yields lower. Meanwhile, global macro managers were hit by the USD depreciation. Most of them hold long exposure to the currency. Strategies with most directionality fared better, including L/S equity long bias, credit and special situations managers.

Philippe Ferreira, senior strategist at Lyxor, commented, "In our previous report we commented on the respective stance of macro and CTA managers on the US currency and signaled we were more comfortable with the bearish USD stance of CTAs. We maintain that view, despite the latest comments from Boston Fed president [Eric] Rosengren, signaling that 'gradual tightening is likely to be appropriate’. This comment from a voting FOMC member provoked some market turbulence at the end of last week, pushing bond yields higher while equities and commodities edged lower."

U.S. economic data below expectations

The report also cit......................

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