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Index Tracker

Managed futures as a whole continued to lose in April, as the Newedge, Barclay and Credit Suisse /Tremont indexes indicate. To see what's happening at a more granular level, take a look at Australian Fund Monitors' indexes, which cover more than 200 absolute return and hedge funds managed in Australia.

This database breaks out commodity and currency CTAs separately from managed futures. Australian commodity managers were about flat for the month while FX performed strongly.

When it came to new allocations, investors favored managed futures and global macro. According to Barclay Hedge, $31.4 billion left hedge funds in March, the fifth largest outflow on record, bringing first quarter redemptions to $137 billion or 12.6% of industry assets. But CTAs posted their first inflow in seven months, getting $695 million (0.4% of assets). Global macro was the only other sector that had a positive asset inflow.

Other databases point in the same direction, though the exact numbers differ. A report from Credit Suisse /Tremont says that overall assets under management by hedge funds declined to $1.3 trillion as of March 31st. While investors, in particular institutions, are expected to return to hedge funds in time, “Over the short term, we anticipate increased attention will be focused on specific sectors such as global macro, convertible arbitrage and managed futures.”

Here is what Credit Suisse /Tremont says about investors' interest:“Despite finishing the first quarter down 2.9%, funds in the managed futures space, which represented the best performing hedge fund sector last year, continue to build on the interest they generated in 2008. The liquid, trend-following nature of this strategy typically allows managers to react quickly to changing market conditions, which in turn has historically enabled managers to capitalize during periods of increased market volatility.”

April and Year-to-Date Returns, Various Indexes