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Laxman Pai, Opalesque Asia: CTAs have dramatically increased their long fixed income positions over the last quarter in the hedge fund space, Lyxor said in its Weekly Brief.
However, the report said that it is concerned about the impact a bond trend reversal might have on their performance going forward.
In parallel, investors' love for the U.S. Dollar remains intact, despite the softer stance adopted by the Federal Reserve and the recent loss of momentum of the Dollar index.
Available data from the CFTC, which incorporates both institutional investors (including pension funds, endowments, insurance companies, and mutual funds) and leveraged funds (typically hedge funds) suggests the long U.S. Dollar trade is well alive.
CFTC data is lagged due to the recent government shutdown. Yet, Lyxor proprietary data on CTA exposures suggest such strategies have reinforced their long positioning on the U.S. currency since mid-January, especially against European currencies such as the Euro, the British Pound and the Swiss Franc.
In the Global Macro space, the views are more contrasted and, if anything, the long positioning on the U.S. currency is less aggressive now compared to what it was last quarter.
Overall, mounting European challenges, such as growth deceleration and looming Brexit deadlines have translated into a higher aversion towards the common currency globally. At the end of last week, Benoît Coeuré, an executive board member of the ECB, sent do...................... To view our full article Click here
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