Hedge funds fared better in November compared to October but still ended the month in negative territory, according to the latest Weekly Brief from Lyxor’s Cross Asset Research team.
Merger Arbitrage continued to outperform last month in a very robust M&A context in the US (but not in Europe) despite the turmoil in equity, credit and commodity markets.
CTAs underperformed in early December, partly due to the US Dollar reversal. FX remains one of the few asset classes where CTAs maintain directional positions. The strategy has been long for the USD vs Euro, the British Pound and the Japanese Yen in recent quarters.
Concurrently, CTAs have trimmed positions in equities, bonds and commodities.