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New Hedge Fund Index Seeks to Measure Strategy Beta Investable index provider BRI Partners has rolled out what it terms the “next generation of hedge fund indexes” with the launch of the BRI Long/Short Equity Index, calculated by Wilshire Associates. BRI says the strategy is the first of eight strategies that will be rolled out across the coming months, and that the new indices are unique because unlike existing hedge fund indices, the firm’s do not measure the performance of hedge fund managers and, therefore, do not rely on managers to provide a snapshot of month-end results.
Former Fed Chief Dealer Launches Macro Firm Profit & Loss understands that Niall Coffey has formed Avoca Global Advisors, a new global macro firm out of Westport CT. Sources familiar with the matter say that Coffey will seek to launch a hedge fund later this year. Coffey was chief dealer in the Federal Reserve Bank of New York's foreign exchange department during the global financial crisis, with responsibility for US currency related trading operations and advising senior Federal Reserve and US Treasury officials on international market developments.
Hedge Funds, CTAs Up in February Managed futures traders gained 0.71% in February according to the Barclay CTA Index, which is compiled monthly by BarclayHedge. Year to date, the Index has decreased 0.02, however in February, Five of the eight CTA indices had gains. Meanwhile, hedge funds were up 0.99% in February according to the Barclay Hedge Fund Index, which is now up 2.38% after the first two months of 2017, its best start since 2013 when it had gained 2.77% by the end of February.
CTAs Post Strong February Performance February was a strong month for managed futures strategies, with all three Societe Generale CTA indices producing performance in excess of 2%. The SG CTA Index was up 2.27% for the month, the CTA Mutual Fund Index was up 2.19% and the SG Trend Index was up 2.88%. Short-term traders, on the other hand, continued to struggle, with negative returns of -1.95%, putting them at -6.03 for the start of 2017. The Trend Indicator attribution data showed that equity indices, contributing 2.3%, were the main driver of positive returns for trend followers in February with gains from long positions in all markets.
Hedge Funds Outperform Stocks, Bonds: Survey Hedge funds outperformed equities and bonds on a risk-adjusted basis in 2016, according to the Alternative Investment Management Association (AIMA) and data provider Preqin. Hedge funds’ risk-adjusted return, as measured by the Sharpe ratio, was 1.45 for the year, ahead of the S&P 500 (1.1), MSCI World (0.68) and Barclays Global Aggregate (0.20) indices, according to AIMA and Preqin, who based their analysis on a database of more than 3,000 funds. The analysis finds that hedge funds also outperformed stocks and bonds on a risk-adjusted basis over three years and five years.
Buy Side Calls for Swaps Trading Innovation Representatives of buy side firms called for greater innovation and flexibility around swaps execution at the SefCon VII event in New York on January 18, hosted by the Wholesale Markets Brokers’ Association, Americas, and organised by Profit & Loss. Speakers at the event explained that swaps trading has not changed much for the buy side since the introduction of Swap Execution Facilities (SEFs), with most buy side firms executing their swaps transactions via a request for quote (RFQ) format. The only difference now, they said, is that the RFQ occurs on an electronic platform rather than via the phone.
Positive December Can’t Save CTA 2016 Results Data from Societe Generale Prime Services (SGPS) showed an uptick in CTA performance in December 2016, although its flagship index closed the year in negative territory for the first time since 2012. All SG CTA indices posted positive returns in the last month of 2016, at the end of an otherwise difficult quarter. The highest performing index last month was the SG Trend Indicator, which was up 4.07% in December. However, the flagship SG CTA Index closed the year slightly negative -2.86% and the SG Trend Index was at -6.19% for the year.
BlackRock Selects HSBC as Custodian in China HSBC Bank (China) has been appointed as the onshore custodian bank for BlackRock, which has been granted approval by Chinese regulators to use the RMB to directly access China’s onshore securities market. Blackrock is the first US-based institutional investor to obtain a Renminbi Qualified Foreign Institutional Investor (RQFII) license. The RQFII programme provides global investors with direct access to invest into China’s capital markets. In June 2016, China allocated to the US a milestone RQFII quota of RMB250 billion, the largest quota globally outside of Hong Kong.
CTAs Continue to Struggle in Tough Environment Data from Societe Generale Prime Services reveals that the majority of its CTA indices show that these firms continued to post negative returns during November. The SG CTA Index posted a negative return of -1.83% and is now down overall -3.38% YTD. The SG Trend Index fared slightly better, returning -1.25% in November, but remains the worst performing index for the year at -6.79% YTD. The SG Short Term Traders Index (STTI) was the only index to post positive performance in November, returning 0.43% for the month with six out of the 10 constituent CTAs contributing positive returns.
Schroders Appoints Asia FX Head Asset management firm Schroders has appointed Sok Mun Wong as head of fixed income and foreign exchange trading for Asia. In what is a newly created role Wong will be based in Singapore, Schroders’ central trading hub in Asia. She joins Schroders from Tudor Capital, Singapore where she was held the post of trader – head of singapore execution team for the past two years. Prior experience includes The Rohatyn Group, ABN Amro Private Bank and Black River Asset Management.