Wed, Jun 28, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Index Track: Energy rally hits short sellers; commentary from Credit Suisse.

Tuesday, March 24, 2009

Index Tracker

Energy Rally Stumps Short Sellers

February was a tough month, to put it mildly. Signs of a worldwide economic contraction appeared almost everywhere. For managed futures, the results from different databases vary. Commodity trading advisors as a group had small losses according to most indexes, but one database actually shows a gain (table below). Hedge funds generally declined more significantly and of course stock market losses were in the double digits. Gold was a winner.

A report from Credit Suisse says:

In addition to global equity markets struggling, consumer sentiment, jobless claims and home sales all worsened in the first two months of 2009, with signals that the US economy could contract another 6% in the second quarter of 2009 before the government's $787 billion stimulus package is felt. Faced with this difficult macro data, global macro and managed futures managers generally held their own, taking advantage of opportunities in currencies and exploiting divergences between governments' monetary and fiscal policies globally via core fixed income trades.

Oil was the joker in the pack, gaining 7.4%. Certain commodity prices tracked the economic downturn, rewarding short sellers. But many CTAs were short energy, so the unexpected rise in energy caused losses. The Credit Suisse report draws a mixed picture:

Most medium and long-term trend followers posted positive returns. Most of the gains were from short positions on equities and grains, as markets sold off by 10% or more during the month due to the weakening global economy. Managers also profited from long US Dollar positions versus other currencies. The gains in equities, agriculture, and currencies were partially offset by losses in shorts in energy as major energy prices rallied during the last week of February. Managers seem to be reducing their long bond positions and adding to currencies and commodities.

February Returns, Selected Asset Classes and Indexes

Managed Futures:
Autumn Gold CTA Index - 1.2%
Credit Suisse/Tremont Managed Futures - 0.16
Barclay CTA Index - 0.17%
HFRI Systematic Diversified Index - 0.21
Managed Futures Europe - 0.42%
Hedge Funds:
Credit Suisse/Tremont HF Index - 0.88%
HFRI Weighted Composite - 1.13
Barclay HF Index - 1.45%
Stocks:
MSCI World - 10.5%
S&P 500 - 10.7
Commodities:
Crude Oil - 7.4%
Gold - 1.6%
DJ AIG Index - 4.4%



 
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. Investing - U.S. hedge fund in anonymous bet against Tesco shares, Hedge funds made repeated attempts to invest in Veneto banks, Steve Cohen's Point72 takes stake in struggling electronics retailer Conn's, Hedge fund Excalibur bets Riksbank will tighten by end of year[more]

    U.S. hedge fund in anonymous bet against Tesco shares From FT.com: A $20bn New York hedge fund is using an offshore shell company to anonymously bet against the shares of the UK supermarket Tesco, raising fresh questions over the efficacy of European short selling disclosure rules.

  2. Investing - In Amazon's shadow, hedge funds take aim at Brexit-hit retailers[more]

    From NYTimes.com: Hedge funds have significantly stepped up bets against Britain's traditional high street retailers, as the sector struggles with online competition, worries about a stretched consumer and weakening sales and profits. The risks were on full display on Tuesday when shares in Debenham

  3. ...And Finally - Nighttime barbecue festival in downtown Memphis![more]

    From Newsoftheweird.com: On May 19, Carl Webb and his wife left a nighttime barbecue festival in downtown Memphis and headed home. They drove 14 miles on an interstate highway before a police officer pulled them over to ask if Webb knew there was a body on his trunk. The man was clinging to the lip

  4. Global macro hedge funds lose on sharp drop in oil prices[more]

    Komfie Manalo, Opalesque Asia: Global macro hedge funds suffered losses due to the sharp fall in oil prices and the drop in U.S. and U.K. Treasury yields, Lyxor Asset Management said in its Weekly Briefing. The Lyxor Global Macro Index fell -1.0% from 13 June to 20 June (-3.4% YTD). The Lyxor

  5. State pension plans see liabilities increase in 2016 - Wilshire[more]

    Bailey McCann, Opalesque New York: The funding ratio of state pension plans dropped four percentage points to 69 percent in fiscal year 2016, according to Wilshire Consulting. A year ago, Wilshire Consulting's annual state funding report uncovered a funding ratio of 73 percent. "U.S. stock pe