Wed, Apr 1, 2015
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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. Other Voices: The role of diversification in CTA portfolios[more]

    2014 brought a resurgence of managed futures strategies, or CTAs, which performed very well as a whole, outperforming all other hedge fund strategies. However, a closer look reveals that there was a wide range of performance, or return dispersion, across managers. The bottom line? Not all CTAs

  4. Neuberger Berman unit buys 20% stake in activist hedge fund Jana Partners for $2bn[more]

    Komfie Manalo, Opalesque Asia: Neuberger Berman’s unit Dyal Capital Partners bought a 20% stake in activist hedge fund firm Jana Partners worth $2bn, WSJ.com reports. The deal comes as activi

  5. Hedge fund launches fall again, $1bn funds found to outperform even smaller hedge funds[more]

    Komfie Manalo, Opalesque Asia: The number of new hedge fund launches fell again in 2014, the third consecutive year of decline, while fund liquidations saw their first drop since 2010, according to the latest HFR Market Microstructure Industry Report released by industry data provider HFR. Acc

banner