Hedge funds were slightly down last week, still dragged lower by CTA strategies, according to the latest Weekly Bried from Lyxor’s Cross Asset Research team.
The company writes: “Last week we downgraded CTAs to Neutral from Overweight, on the back of the assumption that a market rebound is likely in the short term and the strategy will not benefit from it. When volatility rises, CTAs deleverage.
“L/S Equity strategies outperformed as they do not appear to have cut their net exposure during the selloff, anticipating a short-lived market event. We are neutral on L/S Equity strategies, with a preference for variable biased funds.
“Relative Value Arbitrage and Merger Arbitrage remain the best performing strategies this year. We maintain an overweight stance on both.”
