Ctas Drag Down Hedge Fund Returns

By February 20, 2018 04:15

Ctas Drag Down Hedge Fund Returns

The Weekly Brief

The market reversal from early February took a heavy toll on CTAs. CTAs are down almost 5% on a monthto-date basis according to the Lyxor CTA Index. Other measures of CTA performance point to a drawdown that was more severe, i.e. in the -5/ -10% range. Meanwhile, their deleveraging during the selloff suggests they may have lagged the market recovery during the recent days. On a positive note, the current positioning of CTAs is more balanced. Their future performance should thus be more in line with expectations; i.e. a lower correlation to equity markets. Their extreme long positioning on equities over the recent months can help explain why we had a neutral position on the strategy for some time. We stick to that view for the time being as equity and fixed income markets might remain range bound in the wake of the recent movements. However, it is important to note that CTAs are fast regaining their diversification benefits

By February 20, 2018 04:15


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February 2018