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Managed Futures Down; Macro Gains from Aussie $

Many CTAs posted negative returns in October, according to the Credit Suisse/Tremont Hedge Fund Index. The manages futures component of the index is down 2.17% for the month and 6.28% for the year. The broad index covering all strategies was about flat for October, up 15.11% year to date.

Managed futures and long/short equity were the two strategies with the largest number of managers shifting into negative performance from the previous month. Among CTAs, some high-frequency trading and multi-strategy managers made good returns while trend-followers did well early in the month but later lost due to sharp reversals in equity and bond markets.

Global macro eked out a small positive (0.21%) for the month and is up 9.32% for the year. Some macro managers profited from the Australian dollar’s increasing strength as the National Bank of Australia became the first-mover in hiking interest rates and others bet successfully on US interest rates. Energy, gold and platinum were also sources of profit.

Credit Suisse/Tremont says that as divergent growth conditions and policy interventions play out in the marketplace, a range of trading opportunities are expected for global macro funds.

Abbey Fund Passes Milestone

Abbey Capital’s global macro multi-manager fund recently broke through the $100 million asset mark while completing its two-year track record. The fund currently allocates to eight managers via managed accounts and started offering weekly liquidity a few months ago (See Opalesque Futures Intelligence, September 15, 2009.)

Abbey founder Tony Gannon says reaching the milestone demonstrates the demand and appeal of a diversified and liquid approach to the global macro investing. “In addition to offering weekly dealing on the fund, there are no gates or lockups in the fund and this feature is of increasing importance to hedge fund investors in today’s environment,” he said, in a statement.

The underlying managers have diverse trading styles and exposure to a wide range of sectors and markets. While discretionary strategies predominate, these are combined with systematic macro trading strategies. This provided the fund with the flexibility to react to the unprecedented volatility in 2008 and has led to strong returns in 2009, Mr. Gannon says.

Dublin, Ireland-based Abbey Capital has more than $2 billion invested with managed futures, global macro and foreign exchange managers.

Altegris Taps BNY Mellon Exec

Hedge fund and managed futures investment firm Altegris appointed Ken McGuire as chief operating officer, a newly created position. Altegris chief Jon Sundt says this addition to the team “will accelerate the already rapid expansion of our platform.”

Mr. McGuire comes from BNY Mellon Alternative Investment Services, a large hedge fund administrator where he was a managing director for single-manager hedge funds. Earlier in his career he was in Goldman Sachs’ hedge fund strategies group, where he became co-head of operations, finance and technology.

Altegris currently oversees more than $2.4 billion in alternative investments. Mr. Sundt says the object is to provide a diverse selection of best-of-breed alternative managers at lower investment minimums. The firm includes Altegris Investments and Altegris Premier Managers. (See Opalesque Futures Intelligence, July 14, 2009.)

Bainbridge Starts CTA/Macro Fund

Fund of funds manager Bainbridge Partners announced the launch of the Aperio Master Multi-Trading fund in November with about $20 million from clients already invested in Bainbridge’ other products. The firm says it expects assets to reach $40 million by the end of this year before it opens this fund to outside investors. Bainbridge’s total assets are at more than $300 million.

Aperio Master Multi-Trading will invest in managed futures and global macro strategies, allocating to around 10 to 15 managers covering all time frames, sector exposures and styles. It targets 15% annualized return with 10% to 12% volatility.

Bainbridge founder Antoine Haddad and his team have experience with CTAs. “For as long as we have managed multi-hedge fund pools, we have allocated significantly to directional and systematic managed futures programs, benefiting from the positive convexity they add to a portfolio” Mr. Haddad says, pointing out that CTAs have the advantage of trading liquid, listed instruments.

Dubai Exchange Reaches Billion Mark

In the midst of the uncertainty created by Dubai World’s debt restructuring announcement, the Dubai Mercantile Exchange affirmed its continuing growth. DME reported that cumulative trading of its flagship Oman Crude Oil Futures Contract exceeded one million contracts on November 27th, representing one billion barrels of crude oil, at 1,000 barrels per contract.

The contract was launched on June 1st, 2007. This year daily trading volumes increased 60% over 2008, averaging 2,037 contracts.

DME chief executive Thomas Leaver says, “This is a testament to the overwhelming support of our customers and a growing recognition that DME Oman provides the most efficient price discovery and risk management tool to participants in the rapidly growing East of Suez markets.”

Newedge Names Financial Futures Head, Launches India Broker

The multi-asset brokerage Newedge started a securities company based in Mumbai that will focus on providing financial derivatives and cash equities to institutional foreign investors. Newedge Broker India Private Ltd., an addition to Newedge’s established India business, is licensed to trade on the National Stock Exchange of India and the Bombay Stock Exchange.

Newedge, a joint venture between Société Générale and Calyon, has identified India, alongside China, as a priority for expansion. The National Stock Exchange of India was one of the top derivatives exchanges in 2008 and two of its contracts are among the top 10 equity index futures and options.

“Our operations in India will prove important for all our clients as they can benefit from our mix of local knowledge, market expertise and proximity to the exchanges and regulators,” says Newedge chief executive Patrice Blanc.

In a separate development, Newedge appointed John Ruskin as head of financial futures and options execution. Working from London, he will oversee the global team and facilitate cross-border trading and execution across asset classes. Newedge has more than 300 brokers in 17 countries.

Previously Mr. Ruskin was managing director for the Cube division of Fimat, before the formation of Newedge in January 2008. He co-founded Cube, a specialist in executing financial futures and options as well as equity derivatives, in 1997. It was acquired by Fimat in 2006.

Nicolas Breteau, Newedge global head of sales and front office, says Mr. Ruskin has been a driving force in the financial futures and options for over 18 years.

New Oil Futures

CME Group launched trading and clearing services for a new physically delivered Gulf Coast sour crude oil futures contract, scheduled to begin on December 6th for trade date December 7th. The contract, listed by NYMEX, will be available on the CME Globex electronic trading platform and the New York trading floor.

It will be 1,000 barrels in size with a minimum price fluctuation of $0.01 per barrel. The physical delivery is based on Mars-type crude oil at the Louisiana Offshore Oil Port LLC (LOOP) facilities in Clovelly. Alternate delivery of two foreign crude oil streams will be permitted at fixed differentials.

Separately, the IntercontinentalExchange introduced two cash-settled futures contracts based on the Argus Sour Crude Index and cleared by ICE Clear Europe. One is an outright contract while the other is the differential between the Argus Sour Crude Index and the West Texas Intermediate price. The futures contracts will be listed by ICE Futures Europe and will be available on the trade date of December 7th, pending regulatory approval.

ICE previously made available two over-the-counter contracts based on the same index, which represents the daily value of US Gulf Coast medium sour crude in physical spot market trades. The daily ASCI price is the weighted average of transactions for three grades of Gulf Coast crude—Mars, Poseidon and Southern Green Canyon.

Finnish Bank Partners with MF Global

Pohjola Bank plc of Finland entered an agreement to execute and clear derivatives contracts through MF Global UK Ltd. The partnership will commence with listed derivatives before broadening to other products.

Antti Heinonen, a senior vice president at Pohjola, says the partnership gives the bank’s customers a wider spectrum of financial products and Pohjola can soon offer the most comprehensive derivatives services in the Nordic countries.