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Laxman Pai, Opalesque Asia: CTAs' winning streak continues (+1.1% last week) in the hedge fund space, according to the Lyxor CTA UCITS peer group.
CTA strategies that exclude commodities from their investment universe outperformed (+5.9% vs. +3.5% YTD for CTAs including commodities).
CTAs' long positions on European fixed income have been rewarded by the poor macro numbers in Germany which dragged bond yields lower.
The strategy is now up +5.4% since the trough at end-January but the road to recovery is still long. The drawdown since the previous peak in March 2015 is in excess of 15%.
Concurrently, L/S Equity strategies lagged behind. Both Directional and Market Neutral L/S Equity strategies delivered meagre returns in March despite elevated stock dispersion on both sides of the Atlantic.
Flows into offshore hedge fund strategies were back in positive territory in February according to eVestment.
However, investors' appetite for L/S Equity remains low. Both directional and Market Neutral L/S Equity strategies experienced substantial outflows in January and February.
"Based on our Peer Group of 243 strategies, the five worst performing ones in March were mostly L/S Equity, both directional and Market Neutral in a range of -3.3% to -4.3%. Our views on the strategy stay relatively defensive, though we recently upgraded long biased L/S Equity from Underweight to Neutral to capture some beta in portfolios," said Lyxor in its Weekly Brie...................... To view our full article Click here
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