![\"ctas_shaply_reduced_exposure_to_us_and_european_fixed_income.jpg\"](\"http:\/\/www.next-finance.net\/http:\/\/beta.next-finance.net\/wp-content\/uploads\/2016\/10\/ctas_shaply_reduced_exposure_to_us_and_european_fixed_income.jpg\")
<\/a>Fixed income markets have faced some pressures lately, as investors fret about less
\naccommodative monetary conditions going forward. In addition, higher energy prices have
\nfuelled bond yields, as both OPEC members and Russia reiterated their willingness to find
\nan agreement on an oil production freeze. Meanwhile, inflation rates have moved higher in
\nSeptember, as the energy component started to be less of a drag. <\/p>\n
This upward trend in bond yields has led to a sharp adjustment of CTAs\u2019 long exposures to
\nfixed income. Trend followers have actually turned short duration on US fixed income
\naccording to our most recent available data. Meanwhile their long European fixed income
\nexposure has been massively shaved off, from 87% of net assets to 24% in a single week
\n(from October 4th to October 11th). In line with the more defensive positioning on fixed
\nincome, CTAs have increased their exposure to energy, from a short stance a few weeks
\nago to a long stance at present. It is important to note, however, that our aggregate
\npositioning measure includes short term CTAs that adjust their positioning very swiftly.<\/p>\n
Back in mid-September, we downgraded CTAs to neutral (from overweight) on the back of
\nthe long fixed income stance of the strategy which appeared to us as too aggressive. We
\nalso expressed a preference for short term models. This recommendation has worked well
\nso far. The Lyxor Long Term CTA index is down 2% since September 20th while the Lyxor
\nShort Term CTA index is down 0.6%. Meanwhile, the trend-following environment has
\ncontinued to deteriorate according to the SG Trend indicator. As a result, it seems too early
\nto re-weight the strategy but we stand ready to buy back.<\/p>\n
With regards to other hedge fund strategies, there have been little changes to notice.
\nPerformance was flat across the board last week, though market neutral managers showed
\nsigns of revival, especially Asian managers.<\/p>\n
Finally, flows into alternative UCITs continued at a sustained pace in September. Inflows into alternative UCITs jumped to EUR 7.5bn in Q3, up from EUR 2.8bn in Q2.<\/p>\n