With what appears to be immaculate timing, hedge fund investors turned cautious in April 2018 and redeemed $1.9 billion in assets from the industry, just in time for it to produce positive returns in both April and May.
According to the Barclay Fund Flow Indicator, even as the equities markets rebounded and volatility began to calm down, investors withdrew 0.1% of industry assets, which the firm says levelled off at an all-time high of $3 trillion. In April the BarclayHedge Hedge Fund Index gained 0.49% and in May it was up 0.9%, having ended the first quarter -0.7% year-to-date.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.24% loss in May, although currency traders gained 0.88% last month. Year-to-date, the Barclay CTA Index is down 1.76%.
“Large systematic traders were the hardest hit by trend reversals in fixed income, energy, sugar and cocoa prices,” says Sol Waksman, founder and president of BarclayHedge.
The new MPI Barclay Elite Systematic Traders Index (MBEST) lost 1.85% in May, diversified traders were down 0.64%, financials and metals traders lost 0.44%, and systematic traders gave up 0.44%.
Following a marginal uptick in April, the SG CTA Index moved into negative territory in May, down 2.41% for the month, despite being up mid-month.
Trend followers were the main drivers of losses in the second half of the month, and were down, to -2.72%. Short-term CTA strategies handled the changing market conditions relatively well and ended May up, +0.39%.
The SG Trend Indicator had a difficult period and was down by 3.50%, leading to a reading of 13.30% for the first five months of this year.
Following a recovery in April, equity indices contributed to negative performance, and the commodities and currencies sectors took a dip as well. Meanwhile, the bond market provided some relief as it was the only sector to post a positive contribution, up 0.09%, just holding on to gains despite a mid-month reversal.
Hedge funds globally have allocated at least $59 billion to responsible investment (RI), according to a survey by the Alternative Investment Management Association (AIMA) and the Cayman Alternative Investment Summit (CAIS).
The survey of 80 asset managers with $550 billion in hedge fund assets under management (AUM) provides evidence of an increasing level of demand for RI across the hedge fund industry, with around 40% of the respondents saying they are already investing using responsible investment principles, with total assets in such investments worth $59 billion – a little over 10% of the respondents' combined hedge fund AUM.
Record Currency Management has been awarded an AUD350 million mandate by Sunsuper, an Australian superannuation fund.
The mandate is an active currency portfolio, the objective of which is to generate risk-adjusted returns using Record’s Currency Multi-Strategy product, a factor-based return-seeking currency investment strategy.
The mandate size was approximately AUD350 million at mandate inception, as referred to in Record’s fourth quarter trading update on 20 April 2018, when the mandate was funded.
While currency hedging focuses on risk mitigation, Record’s active currency strategies allocate across currency risk premia and are return-seeking in nature, designed to capture the main drivers of return in currency markets.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.23% gain in April. Year-to-date, the index is down 1.42%.
“New US sanctions targeting Russian oligarchs pushed aluminum prices to six-year highs, while crude oil prices rose to their highest level in four years after threats of US withdrawal from the Iran nuclear deal stoked fears of increasing Mideast instability,” says Sol Waksman, founder and president of BarclayHedge.
The Currency Traders Index gained 0.71% in April, the Discretionary Traders Index was up 0.63%, the Diversified Traders Index added 0.24%, and the Systematic Traders Index rose 0.07%.
The Societe Generale CTA Index posted a slightly positive return of 0.08% in April as market conditions improved but remained uncertain.
Trend followers slightly outperformed other strategies, ending up 0.41%, and short-term strategies also delivered positive performance as the Short-Term Traders Index was up 0.20%.
According to the SG Trend Indicator, the performance of trend followers was driven by the energy complex, bonds, currencies, and equity indices.
Whilst the upward trend in energy markets continued and contributed 1.37% to the portfolio, the US bond markets also continued their downward trend. The US dollar strengthened against the existing downward trend causing losses in many currency markets.
More than half of institutional investors plan to partly or fully outsource their data management over the next three years, according to a new survey conducted by State Street Corporation.
Amongst the firms surveyed, 52% conduct all of their data management functions in house, however, by 2021, this is expected to fall to 36%, according to the survey results, with 15% aiming to fully outsource this function to an external partner.
“Explosion in data complexity has fundamentally changed the way asset owners and asset managers compete and operate,” says Subbiah Subramanian, global head of State Street Global Exchange’s data-as-a-service offering, DataGX.
Jersey-based Insch Capital Management has launched its Insch Kintore strategy as a Jersey Private Fund.
Since inception, the form says the strategy has earned a total net return (net of 1.5% management and 15% performance fees) of +49.21%, gaining 12.52% in 2015, 33.39% in 2016 and 21.16% in 2017. Rolling 12 month returns (26 observations) have averaged +20.44%, the firm adds.
The strategy is entirely quantitative in nature and agnostic in terms of market direction and trades gold (as a currency) versus G7 currencies.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.34% loss in March. Year to date, the index is down 1.71%.
“Concerns of a US/China trade war and a data hacking scandal at Facebook helped fuel a second month of declines in global equities and a flight to quality that drove fixed income yields lower,” says Sol Waksman, founder and president of BarclayHedge.
The Financials and Metals Traders Index was down 0.71% in March, diversified traders lost 0.55%, and systematic traders gave up 0.50%.
“Although aluminum and other base metals gave up ground on the month, the recovery in energy markets helped to offset some of those losses,” says Waksman.