{"id":31831,"date":"2013-12-10T00:24:36","date_gmt":"2013-12-09T23:24:36","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/ctas-on-a-strong-recovery-mode-in-november\/"},"modified":"2019-12-30T22:50:49","modified_gmt":"2019-12-30T21:50:49","slug":"ctas-on-a-strong-recovery-mode-in-november","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/ctas-on-a-strong-recovery-mode-in-november\/","title":{"rendered":"CTAs on a strong recovery mode in november"},"content":{"rendered":"

Financial markets remained conducive<\/strong> to hedge funds in
\nNovember. Macro data published over the month was mixed
\nbut monetary policy kept erring on the dovish side particularly in
\nEurope where the ECB cut the refi rate. The strong provision of
\nliquidity fuelled the rise in equity and credit markets and allowed
\na further drop in correlations between (and within) asset
\nclasses. Hedge funds took advantage of the rising opportunity
\nset to add alpha to their beta returns, showing solid
\nperformances. The Lyxor Hedge Fund index gained 0.6% over
\nthe period and is up 5.5% year-to-date.<\/p>\n

CTAs performed the best in November<\/strong>, engaging a strong
\nrecovery thanks to the equity uptrend and adequate positioning
\nin FX (long Euro, short JPY) and commodities (short gold). It is
\nnoticeable that long term trend followers continue to
\nsignificantly outperform pattern recognition strategies.<\/p>\n

The L\/S Equity market neutral sub-strategy was the second
\nbest performer as the drop in correlations within US and
\nEuropean equities helped neutral managers benefiting from
\nmore opportunities in relative value trades.<\/quote>
\n Long biased
\nstrategies also rallied (+1.5%), supported by U.S. funds
\nexposures to mid cap names, consumer and financial sectors.
\nLarge exposures to the communication sector, subject to
\nintense M&A activity, provided additional arbitrage
\nopportunities. Finally, variable biased managers also performed
\nwell (+1.2%). They kept net exposures relatively low (<40%)\nand gross exposure relatively high (>200%), a sign of strong
\nconviction on both the long and short books.<\/p>\n

Event driven strategies continued to deliver solid returns<\/strong>
\nwith the Lyxor Special Situations Index and the Lyxor Merger
\nArbitrage Index up +1% and +0.7%, respectively. Several
\nidiosyncratic catalysts played out positively. Merger Arbitrage
\nfunds benefited from a spread tightening in several transactions
\nand from their more directional special situations portfolios.<\/p>\n

Long\/Short Credit Arbitrage posted positive gains (+0.4%)
\nin November mainly on the back of tightening high yield
\nspreads in Europe<\/strong> while they widened somewhat in the U.S.
\nCash credit markets outperformed derivatives in November.
\nValuation in credit market remained stretched and dispersion
\nanaemic, which prompted managers to keep gross exposure
\nat more than 250% to boost performance from pair trading
\nstrategies.<\/p>\n

The Convertible Bond Arbitrage strategy was virtually flat
\namid changing market conditions.<\/quote>
\n The primary market was
\nextremely active with about $20 billion issuance over the
\nmonth. Though an active primary market is usually favourable,
\nthe massive issuance weighed on valuation and raised concern
\nabout investors\u2019 absorption capacity. Convertibles lost some
\nground relative to their underlying shares.<\/p>\n

Macro funds underperformed with the Lyxor Global Macro
\nIndex declining 0.8% in November.<\/strong> Profitable long positions on
\nequity and fixed income were more than offset by detrimental
\nbets in the forex and commodity space. Short bets on euro
\nsuffered from the currency strength while the continued sell-off
\nin gold weighed on long positions.<\/p>\n

\u201cLong term trend followers significantly outperformed in
\nNovember as both the upward trend in risky assets and
\ncurrency movements were supportive.\u201d<\/em> says Philippe Ferreira,
\nHead of Research and External Relations at Lyxor Managed
\nAccount Platform.<\/p>\n

Most Hedge Fund Indices on Lyxor\u2019s Platform were up in November[[MTD returns are based on performance from the last estimated NAV of the previous month until the last estimated NAV of the reported month.]][[Source: Lyxor AM]]<\/h2>\n

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