- Advertisement -
- Advertisement -

Nordic CTAs end disappointing year in the red

- Advertisement -

Stockholm (HedgeNordic) – Nordic CTAs posted losses in the fourth quarter of 2015, ending the year in the red. The NHX CTA Index, a composite of Nordic CTAs performance compiled by HedgeNordic, shed -3.2 percent in the final three months of the year to finish 2015 down -2.2 percent. Nordic CTA-returns were weaker compared to benchmarks where the Barclay BTOP50 Index ended the year down -1.0 percent while the Newedge CTA indices (nowadays called the SG Prime Services Indices) finished the year more or less unchanged.

2015 offered somewhat tricky trading conditions where financial markets went from a risk-on stance in the first five months of the year to a risk-off mode starting during the summer as concerns over the Chinese economy and a collapsing oil price mounted. Nevertheless, the CTA-year of 2015 must be regarded as disappointing given exploitable trends seen in energies, metals and currency markets in particular.

Among Nordic CTA sub-strategy groups, trend following managers were generally down with industry giant LYNX posting a -7.9 percent loss for the year. SEB Asset Selection also struggled finishing down -1.5 percent. Nordea’s Heracles Long/Short MI Fund was the big loser among trend followers posting a loss of -13 percent year-to-date.

Among sector specific CTAs, commodity focused MG Commodity had a stellar year, putting in a positive 12.5 percent to a very low volatility profile. The Swedish quant FX program, IPM Systematic Currency, also managed to eak out a 2.6 percent gain, following a strong run in December.

On the macro side, IPM’s systematic macro fund also did well gaining 4.4 percent on the year. Estlander’s Global Markets program was closed during the year and taken out of the comparison.

Another program that decided to close to outside investors during the year was Romanesco’s Persistence Program, this was reported in a separate HedgeNordic article. The only short-term CTA program left in the comparison is thus the Estlander Presto account which suffered losses of -6.4 percent in 2015.

On the multi-manager front, the funds offered by Swedish CTA-specialist RPM showed mixed returns during the year. The RPM Evolving Fund, investing into smaller up and coming CTA managers lost -4.1 percent while the GALAXY fund, that invests into a set of more established CTA-names, gained 3.1 percent. GALAXY is a newly added fund to the comparison given RPM’s decision to make the fund available to investors in the Nordics through Swedish fund platforms (see HedgeNordic article here), the full track record dates back to 2008.

Chart 1 and 2 provides risk-adjusted (all programs adjusted to the average volatility of Nordic CTAs) snapshots of individual manager performance rankings for Q4 2015 as well as for the full year. The indisputable winner for the year is MG Commodity while the Nordic CTA space overall struggled.

So what is in the cards for CTAs in 2016? A heightened risk awareness in global financial markets might be a trigger for CTAs to start delivering outsized and uncorrelated returns again. Mounting fears for a slowdown in China, collapsing oil prices, the Feds hiking cycle leading to increased global interest rates divergence are only a few factors that may play into this. As always, CTAs tend to work well in times of equity market distress, let us see if the start to 2016 holds any clues about CTA-performance for the full year…

 

Table 1. Performance overview of Nordic CTAs 2015

ffss
Table 1. Performance review of Nordic CTAs and benchmarks 2015. *Volatility measure based on 24-month rolling window. Source: HedgeNordic, Barclayhedge and SG Prime Services

Table 2. Risk-adjusted performance overview of Nordic CTAs 2015

erdhdrhj
Table 2. Risk-adjusted performance review of Nordic CTAs and benchmarks 2015. **All program set to the average volatility of Nordic CTAs. Source: HedgeNordic, Barclayhedge and SG Prime Services

Chart 1. Risk-adjusted ranking of Nordic CTAs – Q4 2015

NordicCTAs-Rankq42015-riskadjusted
Chart 1. Risk-adjusted ranking of Q4 performance for Nordic CTAs and benchmarks.

Chart 2. Risk-adjusted ranking of Nordic CTAs – 2015

NordicCTA2015Rank-RiskAdjusted
Chart 2. Risk-adjusted ranking of 2015 performance for Nordic CTAs and benchmarks

 

Picture: (c) pabmap —shutterstock.com

close

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

Most Popular This Week

Voices

Request for Proposal

- Advertisement -

Latest Articles

Brummer Multi-Strategy Navigates 2022’s “Perfect” Storm

Stockholm (HedgeNordic) – 2022 experienced a “perfect” inflation storm due to an unprecedented amount of monetary and fiscal policy stimulus during the pandemic, war,...

Dream Comes True for Grönblom

Stockholm (HedgeNordic) – Ernst Grönblom had been running his high-conviction strategy of cherry-picking the stock market’s undervalued future winners under the umbrella of United...

Boarding the Broader Alternatives Ship

Stockholm (HedgeNordic) – Tore Davidsen, portfolio manager of SEB Eureka Fixed Income Relative Value since its launch in 2018, will join BankInvest as Senior...

Year of Stabilization of Interest Rates

By Kari Vatanen, CIO of Veritas: The year 2022 was a year of negative surprises in the investment markets and in the global economy. Hopes...

Playing Offense in the Net-Zero Transition

Stockholm (HedgeNordic) – The world’s adoption of cleaner energy had been ongoing prior to Russia unleashing war in Ukraine. The war and its consequences...

Resscapital’s Key Appointment in Pursuit of Awareness

Stockholm (HedgeNordic) – To capitalise on strong performance and continued asset growth in 2022, Resscapital made a key appointment to its investor sales and relations...