- Advertisement -

Related

CTAs more than just a tail risk hedge – Bornemann

- Advertisement -

Stockholm (HedgeNordic) – In a recent interview with Citywire, Hans-Olov Bornemann (pictured), who is heading the quant team behind the SEB Asset Selection Fund, explained why CTAs are more than just a tail risk hedge and that the strategy has fared well also in upward sloping markets.

“CTAs do perform very well in volatile markets, or more specifically in negative equity markets. They provide a tail risk hedge, as people refer to. But CTAs can also perform in upward sloping markets, like they did in 2014 and in the beginning of 2015 where we had a very benign market environment and still CTAs managed to perform well”, Bornemann says commenting on when CTAs tend to deliver outsized returns.

Currently, the models that Bornemann run in the SEB Asset Selection managed futures fund point to continued equity market strength.

“What the model is saying today is that we are going to see a continuation of the positive trend in the equity market, but we are also building up bond exposure, a return to more of a quantitative easing type of environment, at least for the near term future. The model is also pointing to a stronger dollar to some extent”.

Over the past 1.5 years, Bornemann points to equities and fixed income markets as having provided for the most significant positive contributions. In the case of fixed income markets, Bornemann says that they have offered good returns over the last 10 years but has seen less trendiness as of late given the pick-up in interest rates “which has caused the model to, at times, be short interest rates”.

Responding to a question on how to think when allocating to CTAs, by many viewed as too complicated to invest their money in, Bornemann says that CTAs play an important role for the balance of a portfolio.

“The reason I am saying that is that CTAs have the possibility to protect the portfolio in very negative markets. Looking back at CTA returns since 1980, the strategy has been able to provide positive returns in the 6 largest equity market drawdowns. You won´t find many investments that have been able to do that”, Bornemann concludes.

See link below for full interview:

http://citywireselector.com/news/aa-rated-quant-head-ctas-are-not-just-for-volatile-markets/a1021849?ref=citywire-global-latest-news-list

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

Beyond Shipping: Gersemi Develops Crypto Strategy

With years of experience as a sell-side analyst and later as a fund manager, Joakim Hannisdahl has developed deep expertise in shipping sectors and...

Folketrygdfondet on Nordic High Yield: More Global, but Is It More Resilient?

While Norway’s global sovereign wealth giant, the Government Pension Fund Global, widely known as the Oil Fund, invests trillions across international markets, its lesser-known...

Danske Bank AM Claims Top Honor as Nykredit Wins Fixed Income

Nordic managers were strongly represented at this year’s EuroHedge Awards, sweeping the nominations in the Fixed Income category. With the entire “Fixed Income” field...

AP3 Hires Lynx’s Mattias Sundbom as Head of Portfolio Strategy

After spending the past decade at some of Sweden’s largest systematic asset managers, most recently at Lynx Asset Management, Mattias Sundbom has now moved...

Colosseum’s Rollercoaster Start Gives Way to Strong Rebound

Early investors in the freshly launched Colosseum Global Alpha have experienced a rollercoaster ride in recent months, though the latest stretch has been largely...

Nordic CTAs Thrive in February’s Volatile Macro Landscape

February proved to be another favorable month for Nordic CTA managers, leaving CTAs as the best-performing sub-strategy in the Nordic Hedge Index so far...

Allocator Interviews

In-Depth: Diversification

- Advertisement -

Voices

Request for Proposal

- Advertisement -