Long / short equity strategies have been underperforming as market trends in currencies, energy and precious metals continued to provide a framework supportive of managed futures commodity trading advisors, noted Lyxor in its weekly research brief. Inside the performance numbers, the report noted that CTAs with a long-term time horizon outperformed their short-term counterparts. Seventy five percent of CTA funds finished positively, the report noted.
Event driven strategies are also in recovery mode, primarily due to special situations managers, who were up 0.8 percent on the week and have shown strong 2.3 percent gains over the past four weeks. The report noted merger arbitrage is flat, but gross deal spreads, the difference between the offer price and the current stock price, have widened over the past two months. “The awaited rebound of the strategy is related to the fact that the spread widening took place without substantial changes in the deal profiles for most of them,” they wrote.
Lee Ainslie is well-known on Wall Street, first from his time with Julian Robertson's Tiger Management and now at his own firm, Maverick Capital. Ainslie is bullish on the markets in the near term, although he understands the concerns about inflation in the longer term. Q3 2021 hedge fund letters, conferences and more In general Read More
Lyxor: CTAs are outperforming Macro strategies
Lyxor, which provides a managed account platform for hedge fund investors, noted that despite the “remarkable upswing” in many fund categories, its Lyxor Hedge Fund index continued in “timid recovery mode,” up on 0.1 percent on the week. The fact that CTAs are outperforming Macro strategies might not be a positive for long stock market investors, it noted.
The most disappointing performance has come from European funds, who suffered most recently from their short exposure in energy stocks, which rebounded recently. U.S. hedge fund managers fared better as they held on to retailers before the upcoming black Friday events, but didn’t fully capture the rebound in stocks off October’s lows due to a failure to gain full exposure to the energy sector, the research note said.
Lyxor: Japanese long short managers benefited from QE
While long short strategies were basically the worst performing strategy, Japanese long short managers benefited from the island nation’s recent move to quantitative easing, which brought significant investment capital into the region. On the bright side, long / short strategies had limited exposures to sectors that underperformed during the sell-off, such as energy and materials, which limited their October losses.
On the week credit arbitrage strategies faced difficulty resulting in headwinds from European peripherals and emerging markets. Losses for the strategy included Venezuela and exposure to Greek bonds, but some managers partially offset these losses through their exposure to Argentinean debt. Developing credit markets were not comparable on the same level, as Eurozone cash segment outperformed the U.S.