Mon, Aug 29, 2016
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. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of

  2. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  3. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  4. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  5. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new