Thu, Oct 2, 2014
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

Banner

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. Legal - Court throws out lawsuits related to Fannie Mae, Freddie Mac profits, Insider case by SEC is a step removed from Herbalife itself, SEC grants Citigroup waivers, easing hedge-fund curbs[more]

    Court throws out lawsuits related to Fannie Mae, Freddie Mac profits From WSJ.com: A group of Wall Street investors on Tuesday suffered a blow in their attempts to sue the federal government over their treatment of the shareholders of mortgage finance giants Fannie Mae and Freddie Mac af

  2. Launches - Goldman Sachs Asset Management launches GS Long Short Fund, Western & Southern launching international hedge fund, Lansdowne Partners plans energy hedge fund, RBC Global Asset Management launches new RBC Funds (Lux) - Asia Ex-Japan Fund, PVE Capital latest credit strategy to launch on the Sciens managed account platform[more]

    Goldman Sachs Asset Management launches GS Long Short Fund From Marketwatch.com: Goldman Sachs Asset Management has announced the launch of the Goldman Sachs Long Short Fund, which pursues high conviction investment ideas in global equity markets through a fundamental, bottom-up approach

  3. M&A - Goldman fund takes stake in Caxton, Neuberger Berman acquires Orchard Square hedge fund, Top banks, hedge funds buy Perzo messaging platform for $66m[more]

    Goldman fund takes stake in Caxton From FT.com: Caxton Associates, one of the best known macro hedge fund managers, has sold a 9.9 per cent stake in itself to a fund managed by Goldman Sachs, according to a letter sent to its investors. The investment in Caxton, which manages close to $8

  4. Unconstrained bond funds: Where hedge fund strategies meet mutual funds[more]

    From CNBC.com: For all the talk and buzz around indexes, or passive investing, the next big thing for bond mutual fund investors may be strategies that are the exact opposite. The rapid growth of "unconstrained bond funds" has been thrust into investor spotlight given last Friday's stunning news tha

  5. Service Providers - Aequitas Capital launches exclusive provider network for independent RIAs[more]

    From Insurancenewsnet.com: Aequitas Capital, a diversified financial services company, has launched the Aequitas Financial Services Network (AFSN), a singular member network of select product and service providers who offer diverse yet complementary capabilities designed to empower Registered Invest