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Komfie Manalo, Opalesque Asia: Hedge funds lost some ground as of the week ending November 1, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Hedge Fund Index was down 1% (-1.6% YTD), with long term CTAs dragging the overall performance down.
Long term CTAs suffered from their sizeable long exposure to European bonds and long fixed income positions, although they have been cutting positions for the past weeks. Their long energy positions also proved harmful.
Philippe Ferreira, senior strategist at Lyxor AM, commented, "Overall, all hedge fund strategies were in the red last week, however, fixed income arbitrage players outperformed. The best performing manager last week was a relative value arbitrageur in the mortgage backed security space."
He added that on the flip side, short term models proved resilient, as they swiftly reacted to the rising yield environment by adopting a neutral position. Additionally, models were penalized by the decline in oil prices and the depreciation of the USD. Global Macro managers delivered negative returns on the back of their short EUR vs. USD positions. Meanwhile, their short GBP vs. USD is at risk considering the change of tone of the Bank of England which is unlikely to adopt additional expansionary measures.
Risk off markets negatively impacted the other hedge fund strategies. In that regard, managers with less directionality fared better, including merger ar...................... To view our full article Click here
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