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CTAs and Macro well positioned for post Fed market action

Report: Alternative Fixed Income

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Stockholm (HedgeNordic) – In the most recently published weekly report from Lyxor, CTAs and Macro strategies are highlighted as best positioned to take advantage of the market response to Fed’s decision to leave interest rates unchanged.

In a comment, Lyxors Philippe Ferreira says:

“Since the FOMC meeting on September 17th, the Fed’s indecisive attitude has been met with mixed responses from the markets. A lack of guidance has not been welcomed by risk assets, bonds have rallied and the USD has eased against major currencies. It is likely that this will fuel Global Macro and CTA managers in particular.”

With regards to CTAs, Lyxor says that being long fixed income and neutral equities makes an adequate positioning in the current market environment. They stress however that positioning differs between long-term and short-term CTAs. Short-term CTAs are judged to be better positioned given less directionality in FX and commodity markets.

“In fact, long term CTAs are still long USD and short commodities. The Fed’s stance is likely to put downward pressure on the USD and some upward pressure on commodities”, Lyxor says

In the macro space, discretionary macro managers are said to be long fixed income and are set to benefit from the ease in bond yields following downward  revisions of economic projections.

Picture: (c) 18percentgrey – shutterstock.com

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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

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