Sun, Feb 7, 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. How Einhorn survived a nightmare year[more]

    From Bloomberg.com: Even when a hedge fund has an awful year, which was the case for David Einhorn's Greenlight Capital, there are lessons to be learned. Many funds would have had a tough time surviving a year like Einhorn experienced in 2015, when all the stars seemed to align against him and Green

  2. Legal - Hedge fund founder wins early release in U.S. insider trading case, Gramercy seeking $1.3 billion from Peru over land-bond dispute[more]

    Hedge fund founder wins early release in U.S. insider trading case From Reuters/Streetinsider.com: Former hedge fund manager Doug Whitman on Tuesday won a reprieve from serving the remainder of his two-year sentence for insider trading after several judges expressed skepticism that his 2

  3. Investing - David Einhorn finds a winner in Michael Kors[more]

    From Thestreetinsider.com: Greenlight Capital hedge fund manger David Einhorn took his lumps in 2015. The fund lost over 20 percent on the year amid bets gone bad being long a plunging SunEdison and short a couple high-flying FANG stocks. However, today Einhorn is again showing his stock picking pro

  4. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  5. Computer-driven hedge funds make money during January’s selloff[more]

    Komfie Manalo, Opalesque Asia: Commodity trading advisers (CTAs) that use computer programs to guide how they trade, made millions of dollars during last month’s market selloff on the back of declining oil prices and global equities and big moves in currencies. Data provider