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Alternative Market Briefing

CTAs excel in the hedge fund space in August 2018: Lyxor

Tuesday, September 04, 2018

Laxman Pai, Opalesque Asia:

Commodity trading advisors (CTAs) outperformed in the hedge fund space and delivered positive returns in the range of 2-3% depending on the benchmark.

Lyxor Asset Management in its weekly brief said that CTAs' long exposures to bonds and equities were both rewarding. From a regional perspective, their cautious stance on European equities was supportive but short positions on US bonds detracted as Treasury yields fell. Meanwhile, their long energy / short gold positions on commodities were a source of gains.

According to the Luxor's cross asset research team that prepared the report, global macro and L/S equity strategies underperformed.

Emerging-market (EM) macro hedge funds got hammered by Turkey's currency meltdown and its ramifications to the emerging-market forex (EMFX) space while others suffered on long positions on Nordic currencies which depreciated against both the USD and the EUR.

Meanwhile, L/S equity funds reduced their momentum bias and missed the recovery in this segment of equity markets. Merger arbitrage strategies also underperformed on the back of the widening of some deal spreads such as Rockwell Collins vs. United Technologies in the Aerospace/ Defense sector.

The report said that European investors bore the brunt of the market turmoil over the course of August. Turkey's currency crisis and the widening of Italian sovereign spreads translated into an underperformance of European assets versus the U.......................

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