CTAs are up 1.5% over the week as short positions on commodities, including oil, once again proved to be a driver of performance, according to Lyxor.
CTAs had nonetheless a diversified source of gains, posting profit on equities, rates, and FX. This implies the strategy could prove resilient if oil prices experience a (short lived) rebound.
Global Macro managers, in turn, are long energy on the back of their constructive outlook on global growth. Yet, the strategy is up 0.3% this week as most energy bets are played via relative trades on the curve or between Brent and WTI, rather than outright longs.
The implications of the current collapse in oil prices, which has been going on for six months, looms large on equities. Consequently, strategies such as L/S Equity and Event Driven are impacted, due to their exposure to the oil and gas sector.
The European oil and gas sector underperformed the S&P 500 Energy as the cost of producing shale oil in the US is estimated to have fallen significantly (see page 2). This was supportive for European L/S Equity funds, which maintain short positions on the sector. However, the positioning of US L/S Equity managers is less clear cut. The outperformer is short the sector in the US, while the underperformer is long.
On the Event Driven side, long exposure to the oil sector has dragged down performance, despite managers recently taking steps to reduce their exposure. Special situations funds underperformed, as investments such as Cheniere Energy, Energy Transfer Equity, Whiting Petroleum and Oasis Petroleum traded down.
