- Advertisement -
- Advertisement -

An ECB update to remember for CTAs

- 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

RFP: Search for “Limited Loss” Strategies

Stockholm (HedgeNordic) – A German corporate investor is seeking to invest in at least one “limited loss” strategy, with a minimum allocation of €100...

Indecap and PriorNilsson to Unite Forces

Stockholm (HedgeNordic) – Swedish fund manager Indecap has announced the acquisition of fund boutique PriorNilsson Fonder, marking the beginning of a strategic collaboration set...

Benchmark-Plus High-Yield Investing at LD Pensions

Stockholm (HedgeNordic) – Danish pension fund LD Pensions manages two separate pension funds, each with different investment horizons. While the allocation across equities, investment-grade...

Small-cap Equities: Entering a Sweet Spot?

By Krzysztof Janiga, CFA, Senior Equity ETF Strategist at SPDR: As valuation levels in large caps became extreme, the market rally began to broaden...

Rhenman’s Healthcare Fund Transitions to Article 8 Classification

Stockholm (HedgeNordic) – Since its inception in mid-2009, the Rhenman healthcare fund has focused on investing in healthcare companies, which contribute to at least...

The ART of Finding Right Tails

Stockholm (HedgeNordic) – Philosopher Nassim Nicholas Taleb coined the term ‘Black Swan’ to describe the tendency to underestimate the likelihood of extreme, hard-to-predict events,...

Allocator Interviews

Latest Articles

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -