Thu, Mar 28, 2024
A A A
Welcome Guest
Free Trial RSS pod
Get FREE trial access to our award winning publications
Alternative Market Briefing

Global macro hedge funds outperform CTAs with 14% margin in Q4

Tuesday, December 13, 2016

Komfie Manalo, Opalesque Asia:

Hedge fund returns were close to flat in the week ending December 6 while equities rose and bonds dragged lower. The Lyxor Hedge Fund Index was up a mere 0.1% (-1.5% YTD). The best performer was global macro which was up 0.5% (-1.6% YTD). Gains were attributable to long energy positions that played out positively following OPEC’s output agreement and long European equity positions.

However, since the beginning of the fourth quarter, the divergence in returns between CTAs and global macro is surprising. The Lyxor CTA Broad index is down 8.0% while the Lyxor Global macro is up 5.6%. "We cannot recall a worse bout of underperformance of CTAs vs. global macro in any quarter over the past 15 years," Ferreira said.

"The main source of divergence in returns was related to commodity allocations," said Philippe Ferreira, Senior Strategist at Lyxor AM. "CTAs continued to underperform last week, mainly due to their short allocation to energy contracts."

In its Weekly Briefing, Lyxor Asset Management said that hedge funds, which were cautiously positioned ahead of the U.S. election, have broadly started to add risk in their portfolios. During the weekly period under review, equities delivered some gains while bonds continued to edge lower.

Event driven and L/S equity were up marginally, driven respectively by long bias and special situations funds. On the flip side, CTAs were down 1.5% (-6.......................

To view our full article Click here

Previous Opalesque Exclusives                                  
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. KKR raises $6.4bn for the largest pan-Asia infrastructure fund[more]

    Laxman Pai, Opalesque Asia: The New York-based global investment firm KKR has raised a record $6.4bn for its second Asia-focused infrastructure fund, underlining investors' continued appetite for private markets. According to a media release from the alternative assets manager, the figure top

  2. Bucking the trend, top hedge fund makes plans for a second SPAC[more]

    From Institutional Investor: SPACs aren't dead. At least not to the folks at Cormorant Asset Management. The life sciences firm, whose hedge fund topped its peers in 2023, is confident it will match the success of its first blank-check company. Last week, the life sciences and biopharma speciali

  3. Benefit Street Partners closes fifth fund on $4.7 billion[more]

    Bailey McCann, Opalesque New York: Benefit Street Partners has closed its fifth flagship direct lending vehicle, BSP Debt Fund V, with $4.7 billion of investable capital across the strategy. Benefit Street invests primarily in privately originated, floating rate, senior secured loans. The fun

  4. 4 hedge fund themes that are working in 2024[more]

    From The Street: A poor earnings report from Tesla (TSLA) has not hurt the indexes on Thursday. The decline in Tesla stock, which is losing its position in the Magnificent Seven pantheon, is more than offset by strong earnings from IBM (IBM) and ServiceNow (NOW) . In addition, the much higher-t

  5. Opalesque Exclusive: A global macro fund eyes opportunities in bonds[more]

    Bailey McCann, Opalesque New York for New Managers: Munich-based ThirdYear Capital rebounded in 2023, following a tough year for global macro. The firm's flagship ART Global Macro strategy finished the year up 1