- Advertisement -
- Advertisement -

Related

CTAs saved by the Brexit-bell in second quarter

Report: Alternative Fixed Income

- Advertisement -

Stockholm (HedgeNordic) – In what looked to become a negative second quarter for the CTA industry following weak numbers in April and May, was to become a positive one as financial markets reacted forcefully to the Brexit vote in June. The event reinforced longer term bullish trends in fixed income and precious metals markets while triggering some significant moves in currencies, playing in the hands of the CTA community.

Nordic CTAs, as expressed by the NHX CTA Index, outperformed global benchmarks during the quarter with a net gain of 0.3%. The Barclay BTOP50 Index (-1.6%) as well as the SG Trend Index (-1.2%) posted losses in Q2 while the SG CTA Index (+0.1%) was marginally positive.

On an individual manager basis, the IPM Currency fund stood out with a net gain of 8.9% during the quarter, adding 6.7% in June alone. According to the managers monthly comment, the portfolio enjoyed large positive contributions from its developed currency portfolio, which benefited as investors sold the GBP in favour of safe haven currencies like the JPY and CHF (see separate HedgeNordic article here).

MG Commodity was the second best performer on a risk-adjusted basis, adding to its recent strong showing. The program had a very strong 2015 (+12.5%), especially considering its low volatility profile and has added another 4.3% in the first six months of 2016.

On the trend following side, Lynx put in a remarkable June (see separate story) adding 10.3%, which brought Q2 performance to +5.1% and year-to-date numbers to +10.1%, significantly outperforming global peers. SEB Asset Selection Opportunistic and Nordea Heracles also had a strong June with net gains of 8.5% and 7.5% respectively.

On the multi-manager front, the two funds from RPM; Evolving and Galaxy, gained 0.7% and 1.4% during the quarter, holding on to solid returns for the full year with Evolving being up 10.9% and Galaxy up 6.2%.

The complete rankings of Nordic CTAs, compiled by HedgeNordic and compared both in absolute and risk-adjusted terms, are shown below.

Nordic CTAs – Performance overview, Q2 2016

Table 1
Overview of Nordic CTA performance and benchmarks in Q2, 2016. Source: HedgeNordic, SG Prime Services, BarclayHedge *Volatility calculated over the last 24 months

Nordic CTAs – Performance overview risk-adjusted, Q2 2016

Table 2
Overview of Nordic CTA performance and benchmarks in Q2, 2016. All programs adjusted to same volatility. Source: HedgeNordic, SG Prime Services, BarclayHedge. ** Volatility adjusted to the average volatility of Nordic CTAs as measured on a rolling 24-month basis

Nordic CTAs – QTD performance ranking risk-adjusted, Q2 2016

Chart 1
Performance ranking of Nordic CTAs in the second quarter 2016. All programs adjusted to equal volatility (12%). Source: HedgeNordic, Barclayhedge, SG Prime Services

Nordic CTAs – YTD performance ranking risk-adjusted, Q2 2016

Chart 2
Performance ranking of Nordic CTAs for the full year 2016. All programs adjusted to equal volatility (12%). Source: HedgeNordic, Barclayhedge, SG Prime Services

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

Bitcoin-Focused Anna Secures Full AIFM License

Anna Asset Management, which runs a momentum-driven strategy focused on Bitcoin futures, has been granted a full license as an alternative investment fund manager...

Bright Spots Emerge Amid Difficult March for Nordic Hedge Funds

Although March already feels like a distant memory amid the turbulence of April, Nordic hedge funds also faced a challenging month back then. All...

Mandatum Managed Futures Maintains Momentum

Mandatum Managed Futures Fund was named the “Best Nordic Managed Futures Fund” at the Nordic Hedge Award for the second year in a row,...

TIND Discovery Fund Clinches 2024 “Rookie of the Year” Title

One of the earliest distinctions a newly launched hedge fund in the Nordics can earn is the “Rookie of the Year” award, granted annually...

Evli’s Nordic High Yield Fund Aims for Balanced Pan-Nordic Exposure

Finnish asset manager Evli has long been recognized as a specialist in fixed income, managing €7 billion across the asset class. While the firm...

Announcing the Winners of the 2024 Nordic Hedge Award

HedgeNordic is delighted to announce the winners at the 2024 Nordic Hedge Award. We are honoured and humbled to bring together the Nordic hedge...

Allocator Interviews

In-Depth: Megatrends

Voices

Request for Proposal

- Advertisement -