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Alternative Market Briefing

Preqin reports fifth consecutive month of negative performance for CTAs

Friday, November 01, 2013

Beverly Chandler, Opalesque London:

A fifth consecutive month finds CTA performance in the red with average net returns of -0.67% in September, compared with 1.74% for all single-manager hedge funds, according to Preqin’s Hedge Fund Analyst database.

The firm reveals that the CTA strategy’s year-to-date performance is a loss of -2.45%, while over the last 12 months, CTAs have produced average net returns of -3.77%.

Highlights from the Preqin report find that:

  • CTAs continue to represent an important hedging tool for investors due to their lack of correlation with other markets; over 990 investors tracked by Preqin’s Hedge Fund Investor Profiles* database have previously allocated to, or stated a preference for investing in CTAs.
  • However, there has been a reduction in appetite for new CTA investments. In Q3 2013, 9% of investors planning new hedge fund investments over the next 12 months were considering CTA investments, compared 18% in Q4 2012.
  • The three-year volatility of CTAs from October 2010 to September 2013 was between 6% and 8%, while for the S&P 500 it was 12% to 22%.
  • 31% of public pension funds and 25% of insurance companies that invest in hedge funds have a preference for CTAs, with these investors typically taking a long-term approach to investing in hedge funds, and viewing CTAs as offering good downside protection.
  • 38% of hedge fund investors based in Europe and 36 % based in A......................

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