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Alternative Market Briefing

CTAs outperform as commodities rise

Wednesday, January 24, 2018

Komfie Manalo, Opalesque Asia:

CTA (commodity trading advisor) strategies had a strong week as indicated by the Lyxor CTA Broad Index being up 1.4% from 09 January to 16 (+3.5% YTD). Particularly the commodity bucket - long positions on aluminum and short on wheat and corn - was doing well, Lyxor Asset Management said. Long allocations to equities, especially in the U.S. and in Asia, also fostered returns.

However, the broad hedge fund index fell as the Lyxor Hedge Fund Index was down -0.5% (+1.2% YTD), during the week dragged down by the underperformance of global macro managers.

"Last week, bonds sold off, USD weakened, U.S. and EM equities outperformed, along with commodities," said Jean-Baptiste Berthon, senior strategist at Lyxor AM. "The hedge funds strategies that benefitted the most from these developments were CTAs and diversified L/S equity. Macro funds suffered from the turn in USD. The other strategies were about flat," he added.

The report said that hedge funds particularly suffered from the downward trend in USD vs. DM FX (EUR, GBP and CHF). The other buckets were nonetheless resilient. Yet, heterogeneous positions led to disparate returns across managers.

The other strategies' returns were modest. Variable L/S equity outperformed (+0.4%) neutral funds. Event-driven funds ended the week almost flat (-0.1%).

Corporate activity about to heat up

Lyxor pointed to the begin of the earn......................

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