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Survey: Asset Managers Uncertain About Mifid II Rules new rules, according to a survey by the Alternative Investment Management Association (AIMA). Fund managers globally that responded to the survey said that their biggest challenge regarding Mifid II is uncertainty about what the rules contained within the regulation actually mean – both their scope and substance – as well as what they perceived to be a lack of clarity relating to the cost and nature of services provided by brokers. The survey showed that 34% of alternative asset managers are undecided about how they will pay for research following the implementation of Mifid II. Of those that have made decisions around how to pay for research, 80% plan to charge investors and the remaining 20% intend to absorb the costs themselves.
O’Brien Launches Macro Fund O’Brien Investment Group has launched the OBIG Discretionary Global Macro Fund. The hedge fund will be managed by Monica Fuentes, Ph.D and will be open to public participation starting July 1 and available to sophisticated market participants such as accredited institutional investors and large family offices. The Fund will offer a Founders Share Class for the first $100 million of assets under management (AUM), available with a $250,000 minimum investment - a futures-only version of the strategy was launched last month.
Use of FX Algos on the Rise: Survey New research from Greenwich Associates shows that long-term investors corporate end-users are turning to algorithms in FX trading. The report, Long-Term Investors Embrace FX Algos, shows how an increased focus on best execution and the growing use of transaction cost analysis (TCA) are fuelling the adoption of algorithms in FX markets. Greenwich says that FX algorithms are used by more than a third of the biggest institutional or “real money” fund managers active in global FX markets, and by almost a quarter of the biggest corporate FX traders.
CTA Performance Flat in May Data from Societe Generale shows that CTA performance was broadly flat in May, as it has been for most of 2017. Although the SG Trend Indicator illustrated that there were return opportunities for trend followers, up +3.42%, with positive return contributions from four out of the five sectors included in the indictor, the Trend Index was down -0.35% for the month of May. The Short Term Traders Index fared slightly better and posted a positive return +0.29%, but all SG managed futures indices remain down year-to-date.
Barclay CTA Index Gains 0.16% in April Managed futures traders gained 0.16% in April, according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, however, the Index remains down -0.66%. Five of Barclay’s CTA indices had gains in April, while three had losses. Currency traders were up 0.40%, financial/metals traders gained 0.33%, systematic traders added 0.20%, and diversified traders eked out a 0.03% gain. The agricultural traders Index lost 0.38% in April, and discretionary traders were down 0.11%. The Barclay BTOP50 Index, which monitors the largest investable trading advisor programmes, lost -0.57% in April and is down -2.17% year to date.
Making the Case for Hedge Funds Speakers at the Alternative Investment Conference earlier this week spoke out in defense of hedge funds after years of muted performance from some of these firms. According to the Barclay Hedge Fund Index, which looks at reported data from over 1,000 hedge funds and averages out performance, indicates that the industry has only produced double-digit returns once in the past five years. Over the past three years, the index shows returns of 2.88%, 0.04% and 6.10%, respectively. Yet speakers at the New York event, hosted by AIA Group, insisted that there is still value to be found by investing in hedge funds.
CTAs Still in Negative Territory for the Year Although CTA performance improved relative to the previous month, all Societe Generale (SG) Managed Futures indices fell just short of breaking through into positive territory at the end of April 2017. Trend-following had another challenging month in April. The SG Trend Index was down -1.03%, and with 80% of constituent CTA trend strategies contributing negative performance, it underperformed the other CTA indices. It was a mixed result for the broader SG CTA Index, with eight out of the 20 constituent strategies contributing positive performance, and the index remains flat for year.
CTAs Challenged by Divergent Trends Managed futures traders lost -0.44% in March, according to the Barclay CTA Index, which is compiled by BarclayHedge. Year to date, the Index is currently down -0.75%. Due to divergent trends, four of Barclay’s CTA indices recorded gains in March, while four had losses. The Currency Traders Index was up 0.65%, Agricultural Traders gained 0.58%, Financial/Metals Traders were up 0.37%, and Discretionary Traders added 0.16%. In the loss column, Diversified Traders were down -1.15%, and Systematic Traders gave up -0.68%.
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.