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Komfie Manalo, Opalesque Asia:

The faltering market momentum and trend reversals had a negative effect on hedge fund performance as the Lyxor Hedge Fund Index took a small hit and was down -1% from 07 November to 14 (+3.6% YTD), with CTAs underperforming.

In its Weekly Briefing, Lyxor Asset Management said that trend followers were negatively impacted by their long positions on equities, oil and fixed income due to trend-reversals in these asset classes. The story was roughly similar for global macro funds. Long allocations to equities, oil and copper were detrimental to performance. EURUSD shorts were also painful. The fixed income bucket was the only bright spot, thanks to short EU and UK bonds.

Lyxor AM Senior Strategist Philippe Ferreira commented, "Over the recent days, hedge fund performance took a small hit on the back of adverse market developments and trend reversals. Higher risk aversion was not related to specific earnings misses or macro disappointments. Instead, it looked as if investors were securing gains after several quarters of strong performance for risk assets. As the earnings season is coming to an end and the U.S. tax reform blueprint is likely to be less ambitious than expected, investors have a higher tendency to err on the side of caution."

He added that L/S equity funds reported mixed results depending on region-focus and styles. U.S. Quant and Asian managers outperformed thanks to their ......................

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