The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.19% loss in September. However, currency trading remains the best performing sector this year.
“The US economy continues to strengthen in spite of pervasive trade war fears and continued Fed monetary tightening, while other countries have chosen to keep their rates low,” says Sol Waksman, founder and president of BarclayHedge.
He adds: “These contradictory monetary policies have created unpredictable crosscurrents and trend changes in futures prices.”
Eight of Barclay’s managed futures indices had losses in September, while only one had a gain.
Hedge Funds slipped 0.02% in September according to the Barclay Hedge Fund Index compiled by BarclayHedge, versus a 0.57% increase in the S&P 500 Total Return Index. Year to date, the Barclay Hedge Fund Index is up 1.25%, while the S&P has gained 10.57%.
“In spite of interest rates reaching multi-year highs, US equities were able to squeak out a modest profit,” says Sol Waksman, founder and president of BarclayHedge. “However, hedge fund returns were mixed. Winners and losers were evenly split.”
David Campbell has left Sydney-based hedge fund Hunter Burton Capital to set up his own currency-focused fund.
Campbell established Hunter Burton in 2011 with Tony Bradley, who left Westpac to join the fund – Bradley is remaining with Hunter Burton as CEO and portfolio manager.
Campbell has established Castle Rock Global Capital in a split which is described as “amicable” by Bradley in an email, the new investment prospectus for Hunter Burton Capital add Campbell has left “due to differing investment philosophies”.
Currency management firm Record Currency Management has engaged New Change FX, an independent provider of FX data and transaction cost analysis (TCA), to further enhance Record’s commitment to deliver minimum cost and maximum transparency for clients.
Record says it has always placed a high value on minimising transaction costs for clients, and providing the greatest level of transparency and disclosure available in the OTC FX market. To this end, it has a dedicated trading team and maintains multiple routes to access market liquidity.
Metzler Capital Markets, a German-based currency management firm, has selected New Change FX as their independent partner for analysing transaction costs.
New Change is a UK company that calculates an independent live reference mid-rate for
all currency pairs, with the aim of enabling market users to measure the full cost of their foreign exchange execution.
“By working with New Change FX, we are able to measure transaction costs against an independent benchmark,” says Simon Wesch, senior currency manager at Metzler. “This justifies the trust our customers place in us in currency management. We not only apply best price execution, we also prove it.”
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.71% gain in August. Year-to-date, the Index has lost 1.43%.
“Downtrends in agricultural markets, precious metals, and emerging market currencies provided a helpful tailwind for the 70 percent of futures funds that reported a profit in August,” says Sol Waksman, founder and president of BarclayHedge.
Five of Barclay’s managed futures indices had gains in August, while four had losses.
The MPI Barclay Elite Systematic Traders Index enjoyed a 2.81% gain in August. Diversified traders were up up 1.21%, the Systematic Traders Index gained 1.10%, and currency traders added 0.35%.
Hedge Funds reported a gain of 0.42% in August according to the Barclay Hedge Fund Index compiled by BarclayHedge, versus a 3.26% increase in the S&P 500 Total Return Index. Year to date, the Barclay Hedge Fund Index is up 1.55%, while the S&P has gained 9.94%.
“New all-time highs for the S&P 500 and Nasdaq coupled with a rally in US Treasuries helped set the stage for another profitable month for hedge funds,” says Sol Waksman, founder and president of BarclayHedge.
Kettera Strategies, which operates a managed account marketplace for macro, commodities and liquid equity hedge fund strategies called Hydra, has announced that Geneva-based LCJ Investments will offer its discretionary-driven FX strategy on Hydra.
LCJ’s macro strategy is a discretionary, fundamentals-based, global macro program that expresses its views through the global currency markets. LCJ was founded in Geneva, Switzerland in August 2007 by Conor MacManus, Jonathan Tullett, and Leonora Kerry Keane, and the strategy began trading in September of that year.
Following a challenging period in July, CTA performance improved in August as all the indices posted positive performance.
The strong month was led by the uptick in the performance of trend followers, as the Societe Generale (SG) Trend Index was up +3.92%, but all CTA strategies benefitted.
The SG CTA Index was up 2.64% and the SG Short Term Traders Index was up 1.07%.
The SG Trend Indicator was up 4.14% and the key sectors which contributed were commodities, currencies, and equities.
Campbell & Company argues in its paper, Prospects for CTAs in a Rising Interest Rate Environment: A Refresh, that CTA performance is less dependent upon the interest rate climate than some may think.
The paper builds on the data presented by Campbell in a 2013 paper, which showed that traditional assets, such as US equities and Treasuries, have historically underperformed when interest rates are rising. In addition, it showed that CTA performance has exhibited a different pattern from these assets and has in fact not been regime-rate dependent.