Managed futures CTAs posted strong gains last week, pushing the hedge fund index higher on the back of higher U.S. equities and a reversal in bond yields on both sides of the Atlantic, a recent Lyxor report noted. Long term CTAs up on trend continuation, short term CTAs have setbacks CTAs, up 0.06 percent on the week, and Global Macro funds, up 0.03 percent, also benefited from a rebound in the U.S. dollar relative to the Euro, continuing on the trend extension. CTAs in Lyxor’s study remain down on the year by -2.1 percent. Within the CTA mix, long momentum models…
Hedge Funds Up Last Week On Back Of Trend Continuation
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.