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Laxman Pai, Opalesque Asia: Most (80%) among 31 UCITS strategies composed by Lyxor Cross Asset Research are in positive territory so far in February.
Trend followers are on track to deliver their best monthly performance since August 2018 according one benchmark (the SG trend index), said Lyxor in its Weekly Brief.
Both the bond market rally and U.S. Dollar appreciation have proved supportive. Their net long positioning on bonds has significantly increased over the recent months, while the net equity positioning is back to zero from net short.
However, investors will probably need more than a positive month to add to the strategy after the difficulties faced last year, it said.
"Our views going forward remain tilted towards strategies such as Merger Arbitrage and Fixed Income Arbitrage," said Lyxor. Such strategies have demonstrated their ability to generate alpha over time with a low volatility in returns and a low correlation to equity markets.
"Our stance on CTAs stays neutral and we don't pretend to be able to find the right timing to re-weight the strategy. But it looks like investors have capitulated on CTAs last year," it said.
According to eVestment, the strategy experienced the largest outflows in 2018. Investors should keep in mind that over the past 20 years, CTAs outperformed equities and their maximum drawdown has been limited to 20% (where it stands now) compared to 55% for equities.
CTAs are reganing some lost ground
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