- Advertisement -

Related

CTAs adjust long fixed income exposure amid rising bond yields

- Advertisement -

Stockholm (HedgeNordic) – As fixed income markets have faced some pressures lately, CTAs have sharply adjusted their long exposures to the sector. Trend followers have even turned their US fixed  income exposure and is now short duration in US bonds. Meanwhile their long European fixed income exposure has been massively shaved off, from 87% of net assets to 24% in a single week (from October 4th to October 11th), Lyxor reports in its latest weekly brief.

Instead CTA managers have piled up on long energy positions, and is now net long from being net short a few weeks ago.

Lyxor holds a neutral weight to CTAs and downgraded the strategy in mid-September from overweight. The reduction was based on the perception that the long fixed income exposure was too aggressive. Lyxor stand ready to re-weight the strategy but deteriorating conditions for trend following, as reported by the SG Trend Indicator, makes the asset manager hold back for now.

The Lyxor CTA Broad Index has struggled in October and is down 3.8% for the month,. bringing year-to-date returns to -2.4%.

Picture: (c) bluebay – shutterstock.com

 

 

 

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Jonathan Furelid
Jonathan Furelid
Jonathan Furelid is editor and hedge fund analyst at HedgeNordic. Having a background allocating institutional portfolios of systematic strategies at CTA-specialist RPM Risk & Portfolio Management, Mr. Furelid’s focus areas include sytematic macro and CTAs. Jonathan can be reached at: jonathan@hedgenordic.com

Latest Articles

Kaspar Hållsten Carries a Family Legacy Into Rhenman’s Next Generation

Career choices are often shaped long before we make them. A parent’s profession, a grandparent’s stories or simply the conversations around the dinner table...

Danish Pension Awards EUR 200M Private Equity Mandate

Danish pension fund P+ has awarded Schroders Capital a EUR 200 million (DKK 1.5 billion) private equity co-investment mandate, seeking to increase its exposure...

AIX Dynamic: Long-Term Megatrends, Dynamic Exposure

Sweden’s AP7 Equity Fund, the default option for pension savers who do not make an active fund choice, has proven to be a rewarding...

Nordic CTAs Ride Bond Selloff to Another Strong Month

After a strong August, the NHX CTA Index enjoyed another successful month in September, driven primarily by gains in fixed income amid an intensifying global...

Historic Small-Cap Discount Offers Long-Term Opportunity, Not a Timing Signal

Small caps are trading at a historically wide valuation discount to large caps, creating a potentially attractive long-term opportunity even as the valuation gap...

Europe’s Sovereignty Push Could Benefit Small & Mid-Caps

European small and mid-cap equities are entering a potentially more constructive phase as Europe’s push for economic and strategic sovereignty coincides with improving domestic...

Allocator Interviews

- Advertisement -

Voices

Request for Proposal

- Advertisement -