Philippe Ferreira

Philippe Ferreira

Director, Senior Cross-Asset Strategist

Lyxor Asset Management


CTAs make the most of a volatile August

13 Sep 2018

Investment Partners

European investors bore the brunt of the market turmoil over the course of August. Turkey’s currency crisis and the widening of Italian sovereign spreads translated into an underperformance of European assets versus the U.S., both equities and high yield credit.

In the hedge fund space, CTAs outperformed and delivered positive returns in the range of 2-3% depending on the benchmark. Their long exposures to bonds and equities were both rewarding. From a regional perspective, their cautious stance on European equities was supportive but short positions on US bonds detracted. Meanwhile, their long energy / short gold positions on commodities were a source of gains.

On a negative note, Global Macro and L/S Equity strategies underperformed. EM Macro funds got hammered by Turkey’s currency meltdown while others suffered on long positions on Nordic currencies which depreciated against the USD and the EUR. Meanwhile, L/S Equity funds reduced their momentum bias and missed the recovery in such segment of equity markets.

In terms of investment recommendations we have maintained a neutral stance on CTAs until now. But we see supportive factors which suggest an overweight stance might be deserved. In particular, trend following conditions have improved over the course of August. Across asset classes, positioning is reasonable and the risk of a significant trend reversal appears well contained. The main risk would be a significant rise in bond yields which would hurt long bond positions. But declining energy base effects suggests inflation might have reached a peak for some quarters, hence limiting the downside risk for CTAs.

Retour en haut

Retour en haut