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Alternative Market Briefing

CTAs outperformed, delivered positive returns in August: Lyxor

Friday, September 14, 2018

Laxman Pai, Opalesque Asia:

CTAs outperformed and delivered positive returns in the range of 2-3% in the hedge fund space depending on the benchmark, according to Lyxor Hedge Fund Brief. The report added 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. Meanwhile, their long energy / short gold positions on commodities were a source of gains.

"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.S., both equities and high yield credit," said a press release from Lyxor.

On a negative note, global macro and L/S equity strategies underperformed. EM macro funds got hammered by Turkey's currency meltdown while others suffered on long positions on Nordic currencies which depreciated against the USD and the EUR.

Meanwhile, L/S equity funds reduced their momentum bias and missed the recovery in such segment of equity markets.

In terms of investment recommendations Lyxor has maintained a neutral stance on CTAs until now. But the firm would also see supportive factors which suggest an overweight stance might be deserved. In particular, trend following conditions have improved over the course of August.

Across asset classes, positioning......................

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