- Advertisement -
- Advertisement -

Related

CTAs more than just a tail risk hedge – Bornemann

Latest Report

This year’s Alternative Fixed Income report from HedgeNordic explores how institutional investors and asset managers are navigating this new reality, balancing yield and resilience amid shifting credit cycles, structural change, and evolving sources of return.

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

AllianzGI’s Impact Private Credit Strategy: Financing Change Without Compromise

Private credit has matured into an established asset class and is now evolving beyond traditional financing, offering opportunities to contribute to positive change. As...

ESG Remains Part of the “Credit Story” in Private Credit

ESG integration remains a standard component of private credit investing, particularly in Europe and among Nordic institutional allocators, but its momentum has slowed. Conversations...

From PDF to Platform: Why Governance Needs a System, Not a Folder

By Sofia Beckman – Co-founder, North House: “We manage billions with real-time systems,” one COO told me. “But our governance still lives in PDFs.”...

CABA Flex: End of Lifespan, Promises Fulfilled

About three years ago, Copenhagen-based fixed-income boutique CABA Capital was preparing to launch what would later become the first fund in its Flex series:...

Nordic Hedge Funds Maintain Momentum Towards Year-End

Nordic hedge funds are heading toward year-end with strong momentum, advancing 0.8 percent in October to extend their winning streak that began in May....

Gradually, Then Suddenly: Proxy P Extends Rebound

As Ernest Hemingway once observed, change happens “gradually, then suddenly.” For the team at renewables-focused asset manager Proxy P, a period of weak performance...

Allocator Interviews

In-Depth: High Yield

- Advertisement -

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.