- Advertisement -
- Advertisement -

Related

CTAs getting crushed in September

Report: Alternative Fixed Income

- Advertisement -

Stockholm (HedgeNordic) – Systematic trend following hedge funds or CTAs, as measured by the Barclay BTOP50 index, took another hit in September early estimates show. The index, which tracks some of the largest CTA managers in the world, had lost 2 percent by month-end according to early estimates, bringing losses to 4.2 percent for the year.

Also among Nordic CTA managers early estimates point to significant negative numbers for the month. With 76 percent of underlying managers having reported, the index is down 1.4 percent translating into a 4.2 percent loss for the year.

Industry giant Lynx report losses of 4.5 percent turning losses for the year to double digits again (-10.9 percent). SEB Asset Selection was down 1.8 percent. Estlander & Partners report a 2.8 percent loss for its Alpha Trend fund which brings the year-to-date loss to 12.3 percent. Swedish CTA multi-manager provider RPM also report significant losses for both the RPM Evolving CTA Fund (-4 percent) and Galaxy (-7.0 percent), translating into year-to-date losses of 13.6 and 9.3 percent respectively.

Judging from the manager´s comments for the month, trend reversals during the second half of the month was to blame for the weak showing.

“The second half of September was characterized by trend reversals in most major asset classes as the prospects for rate hikes were back on the table, after having been written off during the previous weeks. The dollar ended its downtrend and bond prices fell after Federal Reserve Chair Janet Yellen boosted expectations for an interest-rate rise in December and cautioned against tightening ‘too gradually’”, Estlander writes citing commodities as having been the most challenging asset class during the year due to sideways price action.

RPM highlights that trend following strategies were the most badly hurt by during the month while shorter term strategies and strategies using macro data to form investment positions fared relatively better.

“In RPM’s funds, trend following managers were hit hardest by the trend reversals with losses arising from long bond positions, a short USD position and long metal positions. Our short-term and systematic macro managers were generally better able to maneuver these markets and was with few exceptions up in September.” 

Among Nordic managers that had a positive contribution on the month were MG Commodity (+2.0 percent), IPM Systematic Macro (+1.5 percent) and Alfa Sigma Opportunities (+0.1 percent). MG Commodity is the best performer on the year with gains of 11.9 percent, according to HedgeNordic data.

 

Picture: (c) aboutpixel.de—Christian-Hartmann

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

Infrastructure’s Role in Europe’s Transformation

As Europe accelerates its transition toward a greener and more digital future, infrastructure investment has become a cornerstone of this transformation. However, a funding...

Capital Four Reaches Hard Cap for Fifth Private Debt Vintage

Copenhagen-based credit specialist Capital Four has reached the hard cap of €3 billion for its fifth private debt vintage, Private Debt V – Senior....

Othania Introduces UCITS Version of All-Weather Strategy

Danish boutique asset manager Othania has assumed management of the UCITS-structured fund ØU Invest Balance KL, which will be rebranded as Othania Stabil UCITS...

Hilbert Expands Asset Management Arm

Hilbert Group, which operates an asset management business specializing in hedge funds focused on digital assets, has completed the acquisition and integration of digital...

Elementa Reaches All-Time High on 10th Anniversary

Elementa, the long/short equity fund managed by Marcus Wahlberg, was named “Rookie of the Year” at the 2015 Nordic Hedge Award, recognizing it as...

Private Markets and Equity Exposure Top Priorities for Nordic Investors

Nuveen has published the results of its annual Global Institutional Investor Survey, revealing that 58 percent of the 40 surveyed Nordic investors plan to...

Allocator Interviews

In-Depth: Megatrends

Voices

Request for Proposal

- Advertisement -