Mon, Aug 3, 2015
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: Despite bumpy June/July, CTAs hold on[more]

    Bailey McCann, Opalesque New York: To say that things have been rocky in managed futures recently is putting it mildly. In June, the industry saw its worst month on a performance basis in the past four years. Then yesterday,

  2. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  3. Other Voices: Same day reporting and the evolving role of fund administrators[more]

    By: Scott Price, Head of Business Development and Client Management for North America, Maitland Ernst & Young’s latest glob

  4. Opalesque Roundup: Hedge fund assets rose to 11th consecutive quarterly record level: hedge fund news, week 31[more]

    In the week ending 24 July, 2015, the total global hedge fund industry assets rose to the 11th consecutive quarterly record level in 2Q15 to $2.97tln; Eurekahedge reported that hedge funds raised $93bn in the first six months of 2015; The SS&C GlobeOp Forward Redemption Indicator for July 201

  5. Cowen Group, Inc. to acquire Conifer Securities[more]

    Cowen Group, Inc. and Conifer Securities, LLC had announced the signing of a definitive agreement under which Cowen will acquire Conifer Securities, the prime services division of Conifer Financial Services LLC. The transaction, the terms of which have not yet been disclosed, was approved by the boa

banner