CTA funds profitable but Gas industry dips, says Lyxor
09 December 2014 Paris
Image: Shutterstock
Despite the effects of falling oil prices, commodity trading advisor (CTA) funds are still profitable, according to Lyxor Asset Management.
Oil process have fallen almost 40 percent since mid-June this year, however this led to gains on the commodity complex and CTAs saw a 1.5 percent rise due to short commodities.
Lyxor says this proves CTAs to be a diversified source of gains, with most funds posting profit on equities, rates and FX. It also suggests that strategy could remain resilient if oil prices pick up.
Global macro strategies were up 0.3 percent, with equities as the main driver and European markets contributing the most. Commodities posted mixed returns, with specialist generating alpha due to short positioning on all clusters, particularly energies.
Foreign exchange also saw mixed impact, with short euro positions rewarding, while Latin American currencies struggled against a strengthening dollar.
In long/short (L/S) equity, European funds outperformed the US. The MSCI Energy lost 6.3 percent, while the S&P500 was flat. Crude oil fell by a further 10 percent, equating to a 33 percent decline year-to-date, and the natural gas future declined by 12 percent, leading to a decline of 11.9 percent year-to-date.
The midstream gas industry was hit by low cash flow, high leverage and low production expectation. The best performance fund was short the thematic, while the worst was long for large companies like Atlas Energy, Sandridge and Linn Energy.
Meanwhile, asset weighted return was positive, with multi-strategy and quantitative funds delivering top-quarter returns.
Event Driven funds recorded negative results, with all sub-strategies ending the week in negative figures. This is attributed to the low performance in the energy sector, despite efforts from managers to reduce exposure.
The MSCI energy index was the worst performing as it dropped to -6.9 percent. Special situation positions such as Cheniere Energy, Energy Transfer Equity and Whiting Petroleum all traded down in line with the decline in oil prices.
Lyxor also attributed losses to car hire company Hertz, which traded down to -7.5 percent, despite the appointment of a new CEO.
Oil process have fallen almost 40 percent since mid-June this year, however this led to gains on the commodity complex and CTAs saw a 1.5 percent rise due to short commodities.
Lyxor says this proves CTAs to be a diversified source of gains, with most funds posting profit on equities, rates and FX. It also suggests that strategy could remain resilient if oil prices pick up.
Global macro strategies were up 0.3 percent, with equities as the main driver and European markets contributing the most. Commodities posted mixed returns, with specialist generating alpha due to short positioning on all clusters, particularly energies.
Foreign exchange also saw mixed impact, with short euro positions rewarding, while Latin American currencies struggled against a strengthening dollar.
In long/short (L/S) equity, European funds outperformed the US. The MSCI Energy lost 6.3 percent, while the S&P500 was flat. Crude oil fell by a further 10 percent, equating to a 33 percent decline year-to-date, and the natural gas future declined by 12 percent, leading to a decline of 11.9 percent year-to-date.
The midstream gas industry was hit by low cash flow, high leverage and low production expectation. The best performance fund was short the thematic, while the worst was long for large companies like Atlas Energy, Sandridge and Linn Energy.
Meanwhile, asset weighted return was positive, with multi-strategy and quantitative funds delivering top-quarter returns.
Event Driven funds recorded negative results, with all sub-strategies ending the week in negative figures. This is attributed to the low performance in the energy sector, despite efforts from managers to reduce exposure.
The MSCI energy index was the worst performing as it dropped to -6.9 percent. Special situation positions such as Cheniere Energy, Energy Transfer Equity and Whiting Petroleum all traded down in line with the decline in oil prices.
Lyxor also attributed losses to car hire company Hertz, which traded down to -7.5 percent, despite the appointment of a new CEO.
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