- 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

Beyond 60/40: The Case for Liquid, Systematic Diversification

By Bjarne Graven Larsen: For decades during the great moderation, the 60/40 portfolio was the institutional investor's Swiss army knife. Equities grew wealth; bonds...

Aspect Capital’s Evolving Approach to Chinese Futures

Chinese futures in general add substantial diversification benefits to global futures - and the Chinese commodity futures that dominate certain Aspect Capital strategies also...

Systematic Merger Arbitrage in 2026: Why a Rules-based Approach Matters More Than Ever

By Scott Schefrin, Portfolio Manager at AB Hedge Fund Solutions: After a series of slower years for deal activity, merger arbitrage has re-emerged as a compelling strategy...

Not So Lazy Prices

By Liam Hynes, PhD – S&P Global Market Intelligence: Systematic investing has always been a story of expanding information sets. Prices, then fundamentals, then...

The Hidden Beta in LLM Recommendations

By Victor Brassart and Dan Edelstein at Hafnium: As LLMs become useful in coding, copywriting, and even mathematics, it is natural to ask whether...

Edge Hunting Across Eras

“I have always looked for an advantage or an edge in markets, and I still do,” says Peter Warren. Over more than four decades...

Allocator Interviews

In-Depth: Diversification

- Advertisement -

Voices

Request for Proposal

- Advertisement -