Lyxor: Hedge Fund Index Up +0.4% On CTA Surge

Jan 29 2018 | 9:29pm ET

Hedge funds gained again last week as CTAs outperformed and equity weightings were increased, according to the latest edition of Lyxor Asset Management’s Weekly Brief.

The Lyxor Hedge Fund Index gained +0.4% for the week ended January 23, the company said, bringing its early 2018 gains to +1.6%. 

Leading the pack again last week were CTAs, which are off to an outstanding start so far this year. Lyxor’s CTA Broad Index climbed +1.3%, pushing YTD gains to a whopping +4.3% on continued support from trend-following conditions in the equity and commodity spaces.

Quant managers have added risk to their portfolios since the start of the year amid buoyant global economic conditions, Lyxor added, while cyclical tilts have also been rewarding. January is on track to deliver the best monthly return for Lyxor's CTA index in a decade. 

The rest of Lyxor’s substrategies were positive with the exception of global macro funds, were were down a flattish -0.1%. Otherwise, the company’s Event-Driven Broad, and Long/Short Equity indexes were both up +0.7% for the week. 

“Going forward, we maintain a neutral stance on CTAs despite their strong recent results,” said Lyxor senior strategist Philippe Ferreira in the research note. “The fact that most buckets contribute positively to performance is a strong asset, but the high net long position on equities is a source of risk in our view due the rich market valuation.” 

Lyxor’s Weekly Brief aims to identify trends in hedge fund investing while leveraging the proprietary information accessible through the company’s managed account platform. Lyxor’s Hedge Fund indices are based on the universe of funds available on the platform determined on a monthly basis to be eligible for inclusion. 

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