Strategy

	https://www.next-finance.net/en
	Strategy

CTAs lead the pack in April

For the second month in a row, CTAs outperformed hedge fund strategies in April. According to the Lyxor CTA peer group, the strategy was up +1.6% in April, which brings the year-to-date performance close to +5%.

Article also available in : English | français

In April, CTAs benefitted from the robust performance of equity markets, as well as from the rebound of the U.S. Dollar Index and commodity price movements.

Early May, as market concerns about trade wars resurfaced and impacted negatively risk assets, CTAs appear nonetheless to be resilient thanks to long fixed income and long US Dollar positions.

Our views on CTAs stay neutral, which means that we recommend a 10-15% allocation to CTAs in a hedge fund portfolio over the next 6 to 12 months.

Concurrently, strategies such as Special Situations and L/S Equity Directional also outperformed in April, fueled in part by their structurally high equity market beta, in relative terms. On a negative note, L/S Equity Market Neutral continued to underperform last month, in a context where its sensitivity to the momentum risk factor in equities increased, according to our estimates.

Merger Arbitrage also underperformed in April, though returns were in positive territory. We keep an OW stance on Merger Arbitrage, which offers a low correlation to equities and a low volatility in returns.

Here is the link to the full video

Philippe Ferreira , May 2019

Article also available in : English | français

Add a new comment

Alternative

Lyxor

Hedge funds

Quant Finance

Absolute Returns

Viadeo

Add a new comment

Focus

Strategy CPR AM has recently launched CPR Invest – Global Disruptive Opportunities | A look back at an accelerating phenomenon: disruption

The recently theorised phenomenon of "disruption" is defined as a process whereby a product, a service or a solution disrupts the rules on an already established market. Technological progress, along with the globalisation of trade and demographic changes are now helping to (...)