- Advertisement -
- Advertisement -

Related

An ECB update to remember for CTAs

Latest Report

- Advertisement -

Stockholm (HedgeNordic) – CTA funds were seemingly caught off guard Thursday last week as markets were underwhelmed by the European Central Bank´s decision to cut the deposit rate to minus 0.3% and extend its bond buying program by six months.

As the bearish trend in the euro dollar cross intensified in November, trend following CTAs had moved strongly into the trade, betting for it to continue, according to a recent report from Lyxor Asset Management.

Data from the U.S. Commodity Futures Trading Commission also show that bets by hedge funds on the euro falling outnumbered bets on the euro rising by 4.7 to 1 as of November 24.

With the euro rising by more than 3% against the dollar while government bond yields jumped and European equities plummeted following the announcement, many CTA hedge funds, including those in the Nordics, were badly hit.

Daily NAV figures from Avanza suggest that Nordic CTAs took a severe beating, in many cases giving back the gains seen in November in a single day move. Lynx Dynamic was down a massive 5.98% on the day while SEB Asset Selection shed 0.84%, Alfa Commodity Fund lost 2.02% and Graal Trendhedge, which tracks the Estlander & Partners Freedom Fund, dropped 3.1%.

Among the large international CTA programs, numbers were equally bad. Man Group, which runs $76.8 billion in assets, said on its website that its $4.4 billion AHL Diversified fund lost 5.1% on Thursday. Aspect Capital, which runs $5.1 billion in assets, saw its flagship computer-driven fund fall 4.5% on Thursday, according to an investor update reviewed by The Wall Street Journal.

 

Picture: (c) Victor-Moussa—shutterstock.com

 

 

 

 

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

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

Latest Articles

Record Month for Tidan in Priced-to-Perfection Credit Market

Tidan Fund, a Stockholm-based hedge fund specialising in opportunities across corporate capital structures, marked its four-year anniversary in September with its strongest month on...

Zetterquist Leads Antiloop’s Reset as Cygnus and Atlas Gain Momentum

After helping build and later steer the operations of fund boutique Norron, first as COO and then as CEO, Alexander Zetterquist is embarking on...

From Running Laps to Running Capital: Ex-Taiga Analyst at DNB

After nine years as an analyst at equity long/short hedge fund Taiga Fund, Øystein Kvaerner has joined DNB Asset Management to launch a new...

Nordic Hedge Funds Wrap Up Strong Third Quarter

Nordic hedge funds continued their strong run of performance since May, advancing an additional 1.7 percent on average in September – the industry’s second-best...

DNB’s Stable Alpha Goes DACH

DNB Asset Management has managed its in-house multi-manager, multi-strategy fund platform since early 2020. After a period of muted performance in its early years,...

Opportunities Lie Beneath Aggregate Credit Spreads

Credit spreads across the United States and Europe have tightened to historically low levels, leaving limited reward for simply holding long credit positions. This...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -
HedgeNordic
Privacy Overview

This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.