•  
• Tweet
•  
•        Print
•  
•         Track Keywords
•  
• 

Komfie Manalo, Opalesque Asia:

Hedge fund returns were mixed in the last week of June as CTAs were impacted negatively by trend reversals across the fixed income and energy commodity spaces, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Hedge Fund Index fell -0.1% from June 20-27 and was flat YTD.

In its report, Lyxor said that the rise in bond yields and the rebound in oil prices were adverse for the strategy. L/S equity funds also underperformed on the back of the poor performance of market neutral funds, a strategy that the firm recently downgraded to underweight.

"CTAs suffered from another trend reversal and underperformed last week," Lyxor AM senior strategist Philippe Ferreira commented. "From a top down perspective, we maintain an underweight stance on CTAs. In our view, the trend following environment remains unbalanced and too reliant on equity markets. At the other end of the spectrum, fixed income arbitrage outperformed and event-driven was fairly resilient last week. For the full month of June, both strategies outperformed."

He added that on several occasions Lyxor has expressed recently its strong conviction on fixed income arbitrage. This is a strategy that performs well when bond yields and implied interest rate volatility rise. Thus, fixed income arbitrage is attractive for diversifying long-only fixed income portfolios.

Ferreira continued, "We reiterate our overweight stance ......................

To view our full article Click here