Opalesque Industry Update - Pricing volatility in currency and energy markets has created a challenging performance environment for CTAs in 2017
so far. As at the end of September, the Preqin All-Strategies CTA benchmark has recorded year-to-date losses of
0.04%, compared to gains of 8.04% for the All-Strategies Hedge Fund benchmark. Trend followers, which represent
the largest group of CTAs, have lost 1.62% YTD. In contrast, option writing CTAs, which represent one in 10 active
funds, have gained 7.63% through the year so far. Similarly, systematic CTAs have posted losses of 1.02% in the nine
months to September, but discretionary funds have returned 0.75%. This breaks from longer-term trends, which have
seen returns between different strategies and methodologies more closely aligned. Key CTA Performance Facts:
Amy Bensted, Head of Hedge Fund Products: "The first three quarters of 2017 have proven to be a difficult performance environment for CTAs. The euro, Brazilian real and US dollar have all seen significant movement following political events in these regions over the year. These volatile conditions have resulted in fluctuations in monthly returns, with the Preqin All-Strategies CTA benchmark recording five months of gains and four months of losses in 2017 so far. More notably, different trading strategies and methodologies have seen markedly different returns through the year, creating a wide disparity between different funds' fortunes. However, investors continue to flock to CTAs, and overall the strategy has seen a net inflow of almost $14bn in Q1- Q3. The number of institutions active in the CTA market has also increased, even as the asset class as a whole has seen large proportions of investors say they are looking to reduce or eliminate their allocations. Despite shaky performance in 2017, investors still see CTAs as providing protection from potential market correction, and so continue to seek exposure to the strategy." |
Industry Updates
Preqin: Price swings make challenging environment for CTAs
Wednesday, November 29, 2017
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