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Komfie Manalo, Opalesque Asia:

The Lyxor Hedge Fund Index was slightly down last week, with global macro and CTA returns visibly moving in the opposite direction. The Lyxor Global Macro Index was down -0.8% from 25 July to 01 August which has brought its year-to-date performance to -4.3%, Lyxor Asset Management said in its Weekly Briefing.

However, there is one exception: EM-focused macro managers, which are poorly represented in global macro indices, delivered solid performances in July as they benefitted from the EM rally. Going forward, Lyxor believes that dollar depreciation has gone too far and will maintain an overweight stance on global macro managers, a strategy the firm had upgraded a month ago.

Philippe Ferreira, senior strategist at Lyxor AM said that global macro's "shorts positions on the single currency (euro), which have increased lately, were the largest detractor to performance. Fixed income macro managers suffered the most. Event-driven and fixed income arbitrage strategies were slightly down."

On a positive note, CTAs outperformed during the period, Ferreira said. CTAs dramatically adjusted their positioning in the foreign exchange market over the recent months, and the asset class is now contributing positively to gains. Trend followers actually reversed their short EUR/USD positions over the course of May and are now long EUR. In parallel, long positioning on equities also added to CTA gains.

He added, "Finally the remaining hedge fund ......................

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