{"id":55921,"date":"2016-09-14T23:53:21","date_gmt":"2016-09-14T21:53:21","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/ctas-rally-as-the-greenback-loses-luster\/"},"modified":"2019-12-31T01:04:51","modified_gmt":"2019-12-31T00:04:51","slug":"ctas-rally-as-the-greenback-loses-luster","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/ctas-rally-as-the-greenback-loses-luster\/","title":{"rendered":"CTAs Rally as the Greenback Loses Luster"},"content":{"rendered":"

Recently released economic data in the US was somewhat below expectations dashing
\nexpectations of an imminent Fed rate hike. The US dollar weakened during the period
\nunder review and this has supported CTAs while hurting Macro managers who are
\nrespectively short and long USD against major currencies.
\nEquities also contributed to the
\npositive performance of CTAs last week, in particular the long US equities stance.<\/quote><\/p>\n

In our previous report we commented on the respective stance of Macro and CTA
\nmanagers on the US currency and signaled we were more comfortable with the bearish
\nUSD stance of CTAs. We maintain that view, despite the latest comments from Boston Fed
\nPresident Rosengren, signaling that \u201cgradual tightening is likely to be appropriate\u201d. <\/p>\n

This
\ncomment from a voting FOMC member provoked some market turbulence at the end of last
\nweek, pushing bond yields higher while equities and commodities edged lower. The Fed
\nwillingness to test the market may provoke higher volatility across asset classes in the
\nshort term. But the Fed is data dependent. <\/p>\n

This week we should have greater clarity on the
\nstrength of the US and global economy. Major economies will release industrial production
\ndata for August as well as consumer price numbers. The US consumer confidence survey
\nby the University of Michigan will also be closely watched. We still think that the Fed is
\nunlikely to hike at the September 21st FOMC meeting.<\/p>\n

The returns of CTAs and Macro managers will thus be tied in the short term to macro
\ndevelopments, in particular in the US. Beyond these two strategies, Event Driven and L\/S
\nEquity strategies experienced positive developments last week.<\/strong> Both were up, 0.2% and
\n0.4% respectively, extending the positive returns achieved in Q3 to date (3.4% and 2.2%
\nrespectively). On the Event Driven side, investments in healthcare, communications,
\nfinancials and technology were particularly profitable. <\/p>\n

Two deals in merger arbitrage books
\ncontributed significantly: Softbank completed its $30bn acquisition of ARM Holdings and
\nJohnson Controls completed its merger with Tyco International.<\/quote>
\n Finally, on the L\/S Equity
\nside, long positions on consumer cyclical and financial stocks were the main contributors.<\/p>\n

\"ctas_are_now_long_equities_and_bonds_reflecting_the_rising_correlation_between_them.jpg\"<\/a>