Tue, Jul 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Index Tracker: Comparing the March performance of different hedge fund sectors confirms that managed futures returns correlate negatively with equity markets. We see the downside of this typically desirable attribute.

Tuesday, April 21, 2009

Index Tracker

March provided evidence that managed futures returns correlate negatively with equity markets. This is a boon for diversifying a portfolio, but it has a downside. Last month demonstrated the downside. Commodity trading advisors were down around 2% by most indexes while equity hedge funds rose with the stock rally. HFR's equity hedge index gained almost 3% and emerging markets index gained 4.5%.

The month was difficult for both long- and short-term managed futures strategies. The AlternativeEdge Short-Term Traders Index shows the daily performance of a portfolio of short-term, diversified CTAs who have an average holding period of less than a 10 days. Among the 27 constituents of the STTI, three posted positive returns—Banyan Capital Management, Cabana Capital Management and Crabel Capital Management (Multi-Product).

In the Newedge CTA Index, which tracks a pool of the largest CTAs, only two out of the 20 constituents posted gains: QFS Asset Mgmt. (QFS Currency) and Eagle Trading Systems (Yield). “March was a unique month in that there were a large number of managers that posted negative returns but the depth of drawdown remained relatively shallow," according to Brian Walls of Newedge.

Trend followers in particular were whiplashed by reversing trends. “The US Federal Reserve's willingness to employ quantitative easing helped to drive interest rates and the US Dollar lower, while propelling prices for stocks and agricultural commodities higher,” according to Sol Waksman of BarclayHedge. “Trend-followers, as a group, were on the wrong side of these markets when they changed direction mid-month.”

The one CTA strategy that gained in March was Barclay's discretionary traders, who apparently made correct judgments about the market reversals and are up 0.90% for the first quarter.

February Returns, Managed Futures and Other Strategies

HFRI Systematic Diversified - 2.06%
HFRX Systematic Diversified* - 2.35%
Credit Suisse/Tremont Managed Futures - 2.18
Greenwich Futures - 2%
AlternativeEdge Short-Term Traders (STTI) - 2.19
Newedge CTA Index - 2.41%
Barclay Hedge
Managed Futures total - 1.16%
Discretionary Traders - 0.24%
Diversified Traders - 1.93%
Systematic Traders - 1.61%
ManagedFutures Europe CTA Index - 0.45
Autumn Gold CTA Index - 1.35%
Selected Hedge Fund Strategies
HFRI Equity Hedge (Total) - 2.93%
HFRI Fixed Income-Convertible Arbitrage - 4.39%
HFRI Emerging Markets (Total) - 4.54%

* HFRI are equally weighted composites of constituent funds whereas HFRX are constructed according to a special model to represent the performance of a larger hedge fund universe.



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. HFR: Hedge funds post strong gains in mid-July as markets recover from Brexit losses[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted strong gains through mid-July as the equity markets continued the recovery from Brexit losses. The HFRX Market Directional Index gained +2.17% (+4.22% YTD) and the HFRX Global Hedge Fund Index gained +1.03% through mid-month (+0.19%

  4. News Briefs - Carlyle goes on trial for a financial-crisis meltdown, Private equity and venture capital outperformed public markets in 2015, Pippa Middleton gets engaged to hedge fund manager James Matthews[more]

    Carlyle goes on trial for a financial-crisis meltdown Carlyle Group co-founder Bill Conway was in court on this small island last week recounting one of the most bruising episodes in his private-equity firm’s history: the 2008 collapse of mortgage-bond fund Carlyle Capital Corp. Carlyle

  5. …And Finally - Two men fall off cliff playing Pokemon Go[more]

    From BizarreNews.com: Two men who fell from a seaside cliff north of San Diego told authorities they became distracted while playing augmented reality game Pokemon Go. Encinitas fire Battalion Chief Robbie Ford said one of the men fell about 50 feet down the bluff in Encinitas while the other man fe