(Hedgeweek) Recently released data on hedge fund flows confirm that investors are currently divesting from CTAs. As usual, outflows tend to track recent underperformance with a lag, which can be substantial at times. Between late August 2016 and late August 2017, CTAs experienced a 10 per cent drawdown according to the Lyxor CTA Broad Index. Other measures of CTA performance paint a similar picture. Underperformance over the recent quarters has been caused by frequent trend reversals in the FX, commodity and fixed income spaces. Jean-Baptiste Berthon (pictured), of Lyxor writes: “Investors have nonetheless started to divest near the trough, which took place early July. Since then, the strategy is up 2.2 per cent and is on track to outperform other hedge fund strategies this month.
CTAs Show Signs of Recovery, Says Lyxor
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