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Kraftiga fall för nordiska CTAs i januari, kortsiktiga strategier vinnare

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Stockholm (HedgeNordic.com) – I vad som kan betraktas som en mycket ofördelaktig marknad för trendbaserade modeller upplevde nordiska CTA-förvaltare kraftiga nedgångar under januari månad. Undantaget var kortsiktiga strategier som lyckades dra nytta av de snabba trendbrotten i globala aktier och kapitalisera på ett rally i obligationsterminer.

Kortsiktiga strategier gynnades av volatilitetsexpansion under månaden och dess historiskt höga korrelationen med bredare CTA index bröts därmed. Graf 1 visar Newedge CTA index mot Newedge Short Term Traders Index (STTI), i grafen åskådliggörs även utvecklingen i VIX index över tid (en proxy för marknadsvoltalitet). Det är intressant att notera att korrelationen mellan de två indexen, vilken normal sett är hög, under senare tid gått från positiv till negativ (se graf 2).

Chart1CTA

Graf 1. Newedge CTA vs. Newedge Short Term Traders Index (vänster axel), VIX index (höger axel). Källa; Newedge och Quandl.com

Chart2CTA

Graf 2. 30 dagars rullande korrelation mellan Newedge CTA och Newedge Short Term Traders Index. Källa; egen beräkning baserad på data från Newedge

Bland de nordiska kortsiktiga strategierna visade Romanesco en uppgång på nära 4% (estimat) medan Warren Short Term var upp 0.7%. Bland de trendföljande strategierna noterade Brummer Lynx en nedgång på 5.3% och SEB Asset Selection var ned 3.1%. Den något snabbare trendföljaren Estlander Alpha Trend var ned 3% på månaden. Bland de mindre CTA programmen noterades nedgångar över hela linjen; Rho Altius -5.3%, Coeli Spektrum -2.4% och Alfa Commodity -2.0%. Multi-manager fonden RPM Evolving CTA Fund tappade 4.5% medan den råvarufokuserade Ålandsbanken Commodity Fund var ned 4.7%.

Bild: (c) IndianSummer—shutterstock.com

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Jonathan Furelid
Jonathan Furelid
Jonathan Furelid is editor and hedge fund analyst at HedgeNordic. Having a background allocating institutional portfolios of systematic strategies at CTA-specialist RPM Risk & Portfolio Management, Mr. Furelid’s focus areas include sytematic macro and CTAs. Jonathan can be reached at: jonathan@hedgenordic.com

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