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Kortsiktiga CTAs kom till undsättning

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Stockholm (HedgeNordic.com) – Enligt den senaste veckokommentaren från Phillippe Ferreira, Head of Resarch på Lyxors Managed Account Plattform, har kortsiktiga CTAs tillsammans med multistrategi och emerging markets fonder klarat sig igenom den senaste tidens marknadsoroligheter på ett bra sätt. Detta samtidigt som CTAs överlag under föregående vecka hade en tuff period då kraftiga trendbrott i aktier och till viss del valutor hade en negativ inverkan på avkastningen. Med Eurostoxx 50 ned 4,4% på veckan samtidigt som USD index sjönk med 0,3% var många CTAs sårbara då dess långa USD positioner letat sig upp till den högsta nivån på två år.

Enligt Lyxor hade de CTA förvaltare med stor exponering mot aktier det svårast under den föregående veckan medan pattern recognition strategier och kortsiktiga trendföljare slutade upp. Räntor var det enda positiva resultatbidraget där den stabila nedgången i marknadsräntor på ett korrekt sätt förutsetts av de flesta strategier där långa positioner i såväl amerikanska som europeiska räntor bidrog till vinster.

Bild: (c) Mark III Photonics—shutterstock.com

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HedgeNordic Editorial Team
HedgeNordic Editorial Team
This article was written, or published, by the HedgeNordic editorial team.

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