Mon, Jul 13, 2020
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Pinnacle Awards Competition Highlights Risk / Reward Management:

Managed futures has experienced difficult market environments over the past several years, yet assets under management have dramatically risen. Could this be due to the fact investors are anticipating a switch in market environment? Who delivers performance during difficult economic times?

Monday, July 02, 2012

Pinnacle Awards Competition Highlights Risk / Reward Management
By Mark Melin

"It is unusual that the fastest growing alternative investment sector does not have its own awards competition," noted BarclayHedge's Sol Waksman. "That's the point of the Pinnacle Awards."

Held June 11, the competition sponsored by CMEGroup and BarcklayHedge handed out 25 awards seven primary categories.  Taking home awards in the best diversifier category and best risk adjusted single sector category was discretionary trader Newton Capital partners, a single manager winner with $100-299 million in assets under management.  Winner of the best diversifier category $300 million+ AUM was short term trader Two Sigma Investments. (Complete list of winners available at the end of this article). 

The awards competition highlighted performance during a period of time when managed futures has experienced difficult market environments.  "The past few years have not been investor friendly," Mr. Waksman noted.  "Wild swings from risk-on to risk-off and back to risk-on against a backdrop of massive government intervention in interest rate markets have impacted prices in all major market sectors and have taken their toll on investment portfolios."

For the recent period from January 2010 through the end of Q1 2012, The Barclay CTA Index has gained 6.73% versus a gain of 22.68% for the prior 3-year period.

Delivering performance during this period of time was two-time winner Emil van Essen, a spread arbitrage trader who took home awards in the best defensive category and best return / high volatility diversified category, along with Paskewitz Asset Management's short term directional stock index trading program, which won an award for the best return, high volatility single sector category. 

A factor interesting in managed futures, noted by Mr. Waksman in his address to the Pinnacle Awards audience, was the rise in AUM despite sluggish overall managed futures performance.  "In the recent period since January 2010, in spite of less than stellar performance, assets under management have increased by 53.7% to $328.3 bil. In the 3 years prior to 2010, although returns to CTAs were much more robust, 22.68% vs. 6.73%, AUM increased by 25.7%, less than half the more recent rate.  But many of the Pinnacle Award winners held up in a variety of market environments due to their strategy. 

Such appreciation can be found in programs such as Vegasoul Capital Management, a systematic trend trader with a short-term reversal strategy overlay, which took home the award for best risk adjusted (diversified) returns in the $100-$299 million category.  Volatility CTA Dominicé & Company took home two awards, in both the best defensive single sector category as well as the best return, high volatility single sector category. 

 "Upon closer inspection, we find that in the earlier period inflows accounted for approximately 15% of the AUM increase while 85% of the increase in AUM came from appreciation. In the more recent period, these numbers are completed reversed with 85% of the increase coming from inflows and only 15% coming from appreciation."

 "Typically, money tends to flow into investments when returns are good and flows out when returns disappoint. That fact that asset inflows have increased during a difficult period is somewhat surprising and counter-trend. Perhaps after 29 years, John Lintner's revolutionary and landmark finding that the performance of Managed Futures investments are not correlated with the performance of a stock/bond portfolio has finally become mainstream. Maybe investors are looking at the political and economic landscape, seeing all of the uncertainty on the horizon and making a strategic or tactical decision to allocate to Managed Futures in anticipation of better investment returns ahead. Or maybe, after living through the liquidity crunch of 2008 during which investors took full advantage of the more than ample liquidity available in Managed Futures as they redeemed roughly 15% of total industry assets at year end without impacting the efficient flow of the futures markets and without managers having to limit or restrict redemptions in any way whatsoever, they have come to realize that return of capital can be as important or even more important than return on capital.

"Just recently, Germany was able to sell 2-year bonds at a 0% interest rate for just such a reason," Mr. Waksman noted.

Winners of the 2012 Pinnacle Awards

BEST BEAR MARKET MANAGER GREATEST RETURNS (HIGH VOL) BEST RISK ADJUSTED
Best Bear Market Manager (HF Index) Best Return (High Volatility - Diversified) Best Risk Adjusted (Diversified)
$100-299M AUM
  • Mulvaney Capital Management
  • Conquest Capital Group
  • Emil van Essen

$100-299M AUM

  • Emil van Essen
  • Mulvaney Capital Management
  • Quicksilver Trading, Inc.

$100-299M AUM

  • Vegasoul Capital Management
  • Emil van Essen
  • Saxon Investment Corporation
$300M+ AUM
  • International Standard Asset Management
  • Conquest Capital Group
  • NuWave Investment Management

$300M+ AUM

  • International Standard Asset Management
  • Blackwater Capital Management
  • DUNN Capital Management

$300M+ AUM

  • Two Sigma Investments
  • Bridgewater
  • GMO LLC

Best Bear Market Manager (S&P 500)
$100-299M AUM

  • Mulvaney Capital Management
  • John W. Henry & Co.
  • Quicksilver Trading, Inc.

Best Return (High Volatility - Single Sector)
$100-299M AUM

  • Paskewitz Asset Management
  • Ion Asset Architecture
  • IPM Informed Portfolio Management

Best Risk Adjusted (Single Sector)
$100-299M AUM

  • Newton Capital Partners
  • Hathersage Capital Management
  • Metro Forex

$300M+ AUM

  • DUNN Capital Management
  • Conquest Capital Group
  • International Standard Asset Management

$300M+ AUM

  • Dominicƒ & Co
  • IPM Informed Portfolio Management
  • QFS Asset Management

$300M+ AUM

  • Axiom Investment Advisors
  • Dominicƒ & Co
  • IPM Informed Portfolio Management

BEST DIVERSIFIER

BEST DEFENSIVE GREATEST RETURNS (LOW VOL)

Best Diversifier (CTA)
$100-299M AUM

  • Newton Capital Partners
  • Metro Forex
  • Vegasoul Capital Management

Best Defensive (Diversified)
$100-299M AUM

  • Emil van Essen
  • J.E. Moody & Co.
  • Saxon Investment Corporation

Best Return (Low Volatility - Diversified)
$100-299M AUM

  • Vegasoul Capital Management
  • Fort LP
  • Saxon Investment Corporation

$300M+ AUM

  • Two Sigma Investments
  • Axiom Investment Advisors
  • Mesirow Financial

Best Diversifier (Multi Advisor)

$300M+ AUM

  • GMO LLC
  • Mesirow Financial
  • Two Sigma Investments

Best Defensive (Single Sector)

$300M+ AUM

  • Two Sigma Investments
  • Bridgewater
  • GMO LLC

Best Return (Low Volatility - Single Sector)

$100-299M AUM

  • 6800 Capital
  • Templar Asset Management LTD
  • The Kenmar Group

$100-299M AUM

  • Newton Capital Partners
  • Metro Forex
  • Whistler Trading

$100-299M AUM

  • Metro Forex
  • AAA Capital Management
  • Premium Currency Advisors

$300M+ AUM

  • AC Investment Management
  • Abbey Capital
  • Equinox Fund Management, LLC

$300M+ AUM

  • Dominicƒ & Co
  • Axiom Investment Advisors
  • FDO Partners

$300M+ AUM

  • P/E Investments
  • Axiom Investment Advisors
  • Capital Fund Management

TOP EMERGING

  • KeyQuant SAS
  • Gedamo Asset Management
  • Global Domain Partners



 
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. PE/VC: Disruption from COVID-19 hits ASEAN private equity hard, VCs see much to like in Democrats' $1.5tn Moving Forward Act, US PE firms play the long game as deal-making comes back into focus[more]

    Disruption from COVID-19 hits ASEAN private equity hard Opalesque Industry Update - After a strong 2019, the ASEAN private equity industry has been shaken by the outbreak of the COVID-19 pandemic, reports Preqin. As of September 2019, ASEAN-focused private equity and venture capital asset

  2. Coronavirus crisis: PE industry mulls more realism and longer holding periods[more]

    Laxman Pai, Opalesque Asia: More realism, longer holding periods and an advantage for investors with a long-term focus - these are the main changes that investment managers in the German private equity market expect as a result of the coronavirus crisis. The PE transaction activity is not exp

  3. Multi-strategy hedge funds post double-digit gains, Tiger Global, Coatue score double-digit fund gains in 2020, Lone Pine soars after losses earlier this year, Can Pershing Square's standout year continue?[more]

    Multi-strategy hedge funds post double-digit gains From FT: Large multi-strategy hedge funds have posted double-digit gains for the first half of the year, reversing losses from March, as markets defied the economic downturn brought on by the coronavirus pandemic. Citadel Advisors

  4. Tech: Pandemic boosts digitalisation across the fund industry, The India-China bust up and what it may mean for tech, Machine learning goes global[more]

    Pandemic boosts digitalisation across the fund industry From International Investment: The pandemic has certainly accelerated change and digitalisation in ways that we never imagined, including the funds industry in Luxembourg. Business Continuity Planning and Disaster Recovery Pl

  5. New Launches: Hedge fund Marshall Wace will bet on ESG stocks with new $1bn fund, Stafford Capital raises initial $532m for ninth timberland fund, Nalanda Cap eyes $800m fund, China's Unity Ventures hits first close on US dollar fund[more]

    Hedge fund Marshall Wace will bet on ESG stocks with new $1bn fund From Forbes: Hedge fund Marshall Wace plans to raise $1 billion for a new fund that will invest in stocks with strong environmental, sustainability and governance (ESG) ratings while betting against stocks with poor rating