A “normalization trade” that started in January and brought volatility into the market environment in February is causing near term returns dispersion in hedge fund returns, a market brief from the Lyxor Managed Account Platform observes. Lyxor: Market environment shift noted in market volatility The report notes that as January was marked by deflationary pressures, featuring lower interest rates and commodity prices across the board. As February is proving to be a volatile month in these asset classes, this, in turn, has shaken performance trends. Previous winners, such as managed futures CTAs and long / short equity funds, are now…
First Signs of Policy Normalization bring Dispersion in Hedge Fund Returns
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.