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Laxman Pai, Opalesque Asia: CTAs outperformed both last week and month-to-date, lifting year-to-date returns above +10% according to estimates by Lyxor.
The strategy has benefited from central bank dovishness, which has fueled equity and bonds returns in recent months, said Lyxor in its Weekly Brief.
The remaining hedge fund strategies were broadly flat last week. So far in July, CTA and Global Macro strategies are leading the pack.
Discretionary and EM Global Macro strategies have done well on the back of the rise of long-dated Treasury yields and the tightening of EM sovereign bond spreads.
The recent reversal in the FX carry risk factor also appears to have contributed to the solid performance of Discretionary Macro managers.
Stock dispersion shrunk during QE programmes, penalizing L/S Equity strategies
L/S Equity strategies faced difficulties when the Fed was conducting asset purchase programmes.
One of the possible reasons was the sharp fall in stock dispersion at that time. "We calculated the dispersion of stock returns as the cross-sectional standard deviation of daily returns for the components of the S&P 500," Lyxor said.
Stock dispersion reflects the aggregate level of idiosyncratic risk in the equity market. When central banks purchase assets, it appears that the idiosyncratic risk, which L/S Equity strategies manage through stock selection, decreases materially.
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