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CTAs Register Small Gains in July The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.21% gain in July. Year-to-date, the index has lost 1.98%. “Although managed futures were able to register a small gain in July with 57% of the underlying index constituents reporting profits, the dispersion of monthly returns was quite high, ranging from a 41% gain down to a 15% loss,” says Sol Waksman, founder and president of BarclayHedge. Four of Barclay’s managed futures indices had gains in July, while six had losses. The Cryptocurrency Traders Index was up 5.28%, the Agricultural Traders Index gained 1.04%, and Discretionary Traders Index was up 0.67%.
Hedge Funds Shake Off Tech Decline: BarclayHedge Hedge Funds gained 0.54% in July according to the Barclay Hedge Fund Index compiled by BarclayHedge, versus a 3.72% increase in the S&P 500 Total Return Index. Year to date, the Barclay Index is up 1.04%, while the S&P has gained 6.47%. “In spite of July’s rise in global equities, hedge fund performance was mixed,” says Sol Waksman, founder and president of BarclayHedge. “Technology funds were negatively impacted by Facebook’s record 20 percent decline triggered by the announcement of weaker-than-expected revenue growth.”
CTAs Post Negative Returns for July Following a marginal uptick in performance in June, CTAs faced headwinds again as all the Societe Generale (SG) indices posted negative returns in July. Although the performance was up in the first half of the month, conditions became challenging in the second half. The SG CTA Index was up 1.44% and the SG Trend Index 2.24% mid-month, however by the end performance was down -0.71% and -0.81% respectively. Performance was dispersed as five out of 20 constituent managers in the CTA index posted marginally positive returns. In particular, it was a disappointing end of July for trend followers despite a good start to the month, due to losses in bonds, currencies, and commodities at the end.
AI-Driven Asset Manager Expands Product Suite Asset Manager, qplum, has launched a multi-strategy AI managed futures program (QMAP) for qualified institutional clients. QMAP aims to give investors access to a diversified investment strategy that trades across different geographies and asset classes. It trades futures such as fixed income, equity indices, FX, commodities and volatility. There is a drawdown control-based risk management in place. The strategy is built using qplum's proprietary, deep learning framework that already powers other portfolios offered by the firm Large amounts of market, economic and other structured data are used to train the models and the entire trading pipeline is fully systematic
Mesirow Expands with TCS Acquisition Mesirow Financial has agreed to acquire assets of The Cambridge Strategy (Asset Management) (TCS) a UK-based currency alpha investment firm. TCS was co-founded by Peter Henricks, CEO, and Russell Thompson, CIO, in 2003, and offers currency alpha strategies for return-seeking investors. Headquartered in London with offices in Hong Kong and Monaco, TCS has over $3 billion in assets under management in passive and active strategies. The TCS team will be incorporated into Mesirow’s existing global currency team, all reporting to Hoffman.
Survey Highlights Hedge Fund AI Usage Artificial intelligence (AI) and machine learning (ML) are reshaping the alternative investments landscape, but professional financial managers still make the most pivotal decisions, according to a new survey from BarclayHedge. In a sample of 55 hedge funds that responded to the survey, 56% said they use AI/ML to inform investment decisions, with most of the firms that use these tools saying that they do so in order to generate trading ideas and optimise portfolios. Well over half of the respondents, 58%, have used AI for three or more years, while 37% have used the technology for five-plus years. Hedge fund managers were among the earliest adopters of advanced algorithms and artificial intelligence techniques, which helps explain why a plurality of survey respondents said they have been using AI/ML for more than five years.
CTA Index Down for June; But Currency Managers Show Gains The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.05% loss in June. Year to date, the index is down 2.00%. “Trade war concerns sparked by economic sabre rattling shook grain markets, while US pressure on its allies to boycott Iranian oil rallied energy prices to new highs on the year,” says Sol Waksman, founder and president of BarclayHedge. Agricultural traders were down 0.59% in June, the Discretionary Traders Index lost 0.59%, and Diversified Traders gave up 0.21%.
Hedge Funds Suffer in June: BarclayHedge Hedge Funds lost 0.31% in June according to the Barclay Hedge Fund Index compiled by BarclayHedge, versus a 0.62% increase in the S&P 500 Total Return Index. Year to date, the Barclay Index is up 0.69%, while the S&P has gained 2.66%. Twelve of Barclay’s 17 hedge fund indices had losses in June, while five had gains. Emerging Markets gave up 2.55% in June, Equity Market Neutral was down 1.22%, Pacific Rim Equities lost 0.58%, the Multi Strategy Index was down 0.53% and Fixed Income Arbitrage gave up 0.47%.
Investors Withdraw Money from Hedge Funds In April 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.
CTAs Down in May, Despite Currency Gains 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%.