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Alternative Market Briefing

CTA recovery is currently happening: Lyxor

Tuesday, March 19, 2019

Laxman Pai, Opalesque Asia:

After a dismal performance and significant outflows in 2018, trend following strategies are on the mend and a broad-based CTA recovery is currently happening, said Lyxor.

The positioning of CTAs has been significantly reshuffled recently, pointed out Lyxor in its Weekly Brief.

Equity positioning has turned long in net terms early February and has particularly increased on U.S. equities, while the long-fixed income positioning has stabilized at an elevated level.

Concurrently, the long U.S. Dollar positioning is on the rise, in particular vs. the Euro and the Japanese Yen, and commodity positioning continues to be short, due to selling positions on agricultural commodities.

"Our views on the strategy stay neutral, which means that we suggest a 10-15% allocation to CTAs in a hedge fund portfolio. Despite the poor performance of CTAs in 2018, investors should keep in mind that over the past 20 years CTAs outperformed equities with a low correlation to global stock indices," the report said.

"As an aside, we are now using new benchmarks to measure hedge fund performance. Due to the narrowness and lack of transparency of publicly available liquid indices, our hedge fund analyst team has developed peer groups composed of 247 strategies with total assets under management close to $250bn," it added.

Lyxor said: "The criteria of inclusion are fourfold: i) we only include UCITS strategies; ii) every strategy is properly assessed a......................

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