- Advertisement -
- Advertisement -

Related

Nordic CTAs recover in July, trend followers in bad international company on year

Latest Report

- Advertisement -

Stockholm (HedgeNordic) – Nordic CTAs, as measured by the Nordic Hedge CTA Index (NHX CTA), gained 2.37 percent in July and thereby recovered from recent losses. Year-to-date, the index is still in firm negative territory with losses mounting to 3.64%.

In July, the best performing manager was the Alfa Axiom Fund from Alfakraft, with gains of 8,3 percent, closely followed by Estlander Alpha Trend II (+7,31 percent) and SEB Asset Selection Opportunistic (+5.68 percent). Looking at numbers for the full year reveals a significant dispersion in returns. While long- and medium term systematic trend following strategies have struggled, performance among managers using fundamental inputs and shorter term trading horizons have fared much better. For example, the Systematic Macro Fund from IPM has added 5 percent on the year, and the commodity focused fundamental program MG Commodity is up by almost 9 percent. In the short-term space, Estlander Presto shows gains of 4.5 percent in 2017.

The difficult trading conditions faced by Nordic trend followers is by no means an isolated event. According to a recent article by Reuters headlined “Computer error, top trend following hedge funds lose out in 2017“, big international computer-driven hedge funds such as AQR Capital Management, Aspect Capital and Two Sigma reportedly have lost money in the first seven months of 2017.

Among the biggest losers was AQR Capital Management’s $16 billion managed futures strategy, which lost 6 percent in the first seven months, data compiled by BarclayHedge and reviewed by Reuters revealed. Two Sigma’s Compass Fund, which has $2.5 billion in assets under management, lost 4.4 percent over the same period, while London-based Aspect Capital’s flagship $3.9 billion diversified fund lost 3.4 percent, the data showed.

Winton Capital, the fund set up in 1997 by David Harding, was down 0.8 percent, a source close to the firm told Reuters. And Leda Braga’s Systematica Investments’ BlueTrend, which was founded in January 2015 after spinning out of former hedge fund BlueCrest Capital, was down 6.4 percent.

Among big quant funds bucking the negative trend were Braga’s Systematica Alternative Markets programme, which made gains of 11.2 percent, a source with knowledge of the firm told Reuters. Also successful during the period were the five main trend-following AHL funds run by Man Group, which all delivered returns of between 0.5 percent and 10 percent over the same period, according to its website.

According to a mid-month estimate on the BarclayHedge website, the world’s major systematic hedge funds as measured by the BTOP50 index are again struggling in August being down an estimated 0.5 percent on the month, bringing year-to-date returns to -4.68 percent.

Picture (c): MR.LIGHTMAN1975-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

Pasi Havia Bids Farewell to HCP, Quant Strategy Carries On

After more than a decade at Helsinki Capital Partners (HCP), portfolio manager Pasi Havia has stepped down from his role, leaving behind the management...

Fresh Talent, New Funds: ALCUR Expands Reach in Retail Segment

After a wave of portfolio manager hires earlier this year, stock-picking fund boutique ALCUR Fonder is preparing to launch several new funds aimed at...

Quirky Questions for Kathryn Kaminski (AlphaSimplex)

Not every hedge fund conversation needs to revolve around performance charts or trade execution. In HedgeNordic’s Quirky Questions series, we look beyond the strategies to the...

Active Decisions in Passive Wrappers: Othania on ETF Innovation

Founded in early 2016 by brothers Vincent Dilling-Larsen and Christian Mørup-Larsen, Danish fund boutique Othania built its foundation on a proprietary risk model, “Tiger,”...

Rettig Appoints Crescit Manager to Oversee Hedge Fund Strategies

Simon Borgefors has joined Finnish family-owned investment company Rettig as Investment Director for hedge fund strategies in Stockholm, leaving Swedish hedge fund boutique Crescit...

€5m Ticket to Nordic High Yield From German Family Office

A German family office plans an initial €5 million commitment to a UCITS‑compliant Nordic high‑yield fund, with capacity to scale over time. According to...

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.