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Alternative Market Briefing

CTAs leading hedge fund surge in early 2018

Tuesday, January 30, 2018

Komfie Manalo, Opalesque Asia:

Hedge funds are starting the 2018 with an extension of their winning streak as the Lyxor Hedge Fund Index was up 1.6% up to January 23 with CTAs outperforming. Models extended their gains, fostered by supportive trend following conditions in the equity and commodity spaces, Lyxor Asset Management said in its Weekly Briefing.

Their short stance on USD vs. DM and EM currencies also added to gains, Lyxor AM added.

"Persistent trends across asset classes continued to fuel CTA returns over the recent weeks," said Philippe Ferreira, Senior Strategist at Lyxor AM. "According to our data, CTAs have already turned short U.S. fixed income but remain substantially long on European bonds." The report said that the longest biased funds outperformed in the L/S equity space, in particular emerging market funds. Since the start of the year, managers added risk to their portfolios amid buoyant global economic conditions. Their cyclical tilt was also rewarding.

By contrast, market neutral funds lagged on the back of lingering low equity volatility. The other strategies were positive at the expectation of global macro funds, slightly down.

January on track to deliver highest monthly returns in a decade

Ferreira said that January is on track to see them delivering the highest monthly returns in a decade, according to several benchmarks of performance. Such exceptional performance results......................

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