Sun, Apr 26, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

FRM’s managed futures fund Sigma delivers 18% in 2010

Monday, January 31, 2011

Marc Fisher
Opalesque Industry Update – Comment from Marc Fisher, Managing Director, Financial Risk Management (FRM)

FRM’s Managed Futures fund, FRM Sigma, returned approximately 18% in 2010, maintaining its position as one of the industry’s top-performing CTA funds. Sigma’s performance was generated through a dynamic approach that uses managed accounts to invest in a concentrated number of CTA managers and actively vary trade exposures. The results of this approach have been the higher returns and volatility of a top-performing single CTA manager, but through a multi-manager structure that limits single manager risks.

Sigma’s performance in 2010, particularly in the first part of the year, was driven by fixed income and currency trading. In the latter part of the year, exposure to equities and other risk assets drove performance. Sigma will frequently change exposures in order to take advantage of new trends and exit trends coming to a conclusion.

Managed Futures hedge funds (also known as “CTAs”, “trend-followers” or “systematic traders”), utilise rules-based trading programs designed to profit from directional trends in asset classes including equities, fixed income, currencies and commodities. In addition to producing compelling long-term returns, Managed Futures funds can have strong diversification benefits, since their returns are typically uncorrelated to traditional asset classes and other hedge fund sectors. As a result, when added to investor portfolios, Managed Futures tend to reduce a portfolio’s overall volatility and improve its performance characteristics.

(Press release)

Financial Risk Management (FRM) is a global hedge fund investment specialist managing over $9 billion in fund of hedge funds portfolios for institutional and other sophisticated investors. As well as FRM Sigma, an award-winning Managed Futures fund, FRM manages portfolios investing across the hedge fund spectrum and in certain specialised areas including equities, credit and emerging manager seeding. www.frmhedge.com


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

  4. Update: Wall Street has strong feelings about Jon Corzine trying to make a comeback[more]

    From Businessinsider.com.au: Former New Jersey Governor Jon Corzine is thinking about starting his own hedge fund, according to the Wall Street Journal, and because of the way his last firm imploded, Wall Street has strong feelings about that. “Truth is the larger seeders would never give him money

  5. Opalesque Exclusive: Cybersecurity and hedge funds - A manager’s experience, Part Four[more]

    Benedicte Gravrand, Opalesque Geneva: Ruane, Cunniff and Goldfarb, Inc. used to have their own IT infrastructure. Todd Ruoff, Executive Vice President in charge of trading, operations and technology, was responsible for its maintenance. Then he started looking at outsourced providers a couple of

 

banner