{"id":55532,"date":"2016-09-07T00:47:33","date_gmt":"2016-09-06T22:47:33","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/dollar-upswing-lifts-global-macro-managers\/"},"modified":"2019-12-31T01:03:15","modified_gmt":"2019-12-31T00:03:15","slug":"dollar-upswing-lifts-global-macro-managers","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/dollar-upswing-lifts-global-macro-managers\/","title":{"rendered":"Dollar upswing lifts Global Macro managers"},"content":{"rendered":"

Over the recent weeks, the Federal Reserve has signaled its willingness to move ahead
\nwith a second rate hike. Such a move would follow the December 2015 decision to raise
\npolicy rates. Statements from Yellen and Fisher left opened the possibility of a rate hike as
\nsoon as September 21st, when the FOMC will meet next. However, the decision is not
\nstraightforward considering the disappointing US GDP growth figures in H1-16 and the
\nassociated falling labor productivity. Financial markets remain somewhat unconvinced but
\nat the same time they cannot ignore the Fed guidance. As a result, short dated Treasury
\nyields moved higher and the USD appreciated against major currencies.<\/p>\n

Market movements related to the new Fed guidance had a differentiated impact on hedge
\nfund strategies. CTAs underperformed last week as a result of their long fixed income and
\nshort USD positions. Meanwhile, Global Macro managers outperformed. They benefitted
\nfrom their long USD positions, a stance they have maintained for some time on the back of
\nthe growth divergence thesis between the US and the rest of the world.<\/p>\n

Interestingly, most funds within each strategy share the same stance on the USD (i.e. most
\nCTAs in our sample are short USD and most Global Macro are long USD). But there is a
\nmuch wider disagreement across Global Macro managers on US fixed income. The
\naggregate exposure of Macro managers on the asset class is close to zero, but at the fund
\nlevel we see approximately half of the managers being long US bonds and another half
\nbeing short. That reflects the conflicting signals on the US economy. A vibrant job market
\nhas fuelled household consumption but this is not reflected in GDP numbers. Economic
\nexpansion was actually pulled back in H1-16 by declining capex as companies are not
\ninvesting to expand production capacities.<\/p>\n

All in all, we tend to be rather in favor of the CTA stance. We believe that the Fed is
\nunlikely to move as soon as September. There are simply too many uncertainties regarding
\nthe strength of the US economy to act now. The Fed will probably err on the side of caution
\nin our view and the USD upward pressure may abate, a support for CTAs over Macro
\nfunds.<\/p>\n

Contrasted views on the US Dollar between Global Macro and CTAs<\/strong>
\n\"contrasted_views_on_the_us_dollar_between_global_macro_and_ctas.jpg\"<\/a>