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Komfie Manalo, Opalesque Asia: CTAs and L/S equity strategies outperformed in the week covering 15 August to 22 in a context where conditions for quantitative strategies have improved lately, Lyxor Asset Management said. The Lyxor CTA Broad Index gained 0.5% during the week (-3.1% YTD).
In particular, CTAs have increased their exposure to EMFX, an asset class which continues to experience supportive trend following conditions. All hedge fund strategies were in positive territory last week.
"Yet, on a month-to-date basis, we note that event-driven performance is taking a pause after having outperformed since the beginning of the year," said Philippe Ferreira, senior strategist at Lyxor AM said. He added, "Special situations funds are in negative territory month-to-date on the back of negative contributions from both the consumer cyclical and non cyclical sectors."
Investors redeemed from CTAs just at the performance turn around
Ferreira noted that recently released data on hedge fund flows confirms that investors are currently divesting from CTAs. As usual, outflows tend to track recent underperformance with a lag, which can be substantial at times. Between late August 2016 and late August 2017, CTAs experienced a 10% drawdown according to the Lyxor CTA Broad Index. Other measures of CTA performance paint a similar picture. Underperformance over the recent quarters has been caused by frequent trend reve...................... To view our full article Click here
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