Market rotation sees CTA revenue stumble
14 March 2016 Paris
Image: Shutterstock
Commodity trading advisors (CTAs), the stellar performers of the first two months of 2016, have had to hand back some gains, according to the Lyxor Weekly Brief.
At the same time, event-driven and long/short credit, which suffered previously, are up month to date (14 March).
“We believe that the recent momentum in long/short credit is likely to be sustained going forward. We upgraded the strategy last week [beginning 7 March] on the back of attractive credit spreads and supportive conditions for alpha generation”, explained Lyxor’s cross asset research team in the brief.
“The Lyxor Hedge Fund index is down 0.6 percent, with CTAs dragging the index downwards on the back of the short exposure to commodities. CTAs have remained nonetheless in the black since the beginning of the year and recent European Central Bank (ECB) action is unlikely to hurt the strategy.”
The ECB, which only works with investment grade credit, announced last week that, for the first time corporate bonds issued in euro by economic monetary union non-bank corporations will be included in the list of assets eligible for purchases.
Those with short value and long growth positions were negatively affected by the sector rotation, the brief added.
In the US, the energy sector is up almost 12 percent in a month, while non-cyclicals such as healthcare are up 6 percent. Lyxor stated it continues to recommend a neutral stance CTAs and an overweight stance of long-short equity variable biased funds.
At the same time, event-driven and long/short credit, which suffered previously, are up month to date (14 March).
“We believe that the recent momentum in long/short credit is likely to be sustained going forward. We upgraded the strategy last week [beginning 7 March] on the back of attractive credit spreads and supportive conditions for alpha generation”, explained Lyxor’s cross asset research team in the brief.
“The Lyxor Hedge Fund index is down 0.6 percent, with CTAs dragging the index downwards on the back of the short exposure to commodities. CTAs have remained nonetheless in the black since the beginning of the year and recent European Central Bank (ECB) action is unlikely to hurt the strategy.”
The ECB, which only works with investment grade credit, announced last week that, for the first time corporate bonds issued in euro by economic monetary union non-bank corporations will be included in the list of assets eligible for purchases.
Those with short value and long growth positions were negatively affected by the sector rotation, the brief added.
In the US, the energy sector is up almost 12 percent in a month, while non-cyclicals such as healthcare are up 6 percent. Lyxor stated it continues to recommend a neutral stance CTAs and an overweight stance of long-short equity variable biased funds.
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