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.
Redemptions from hedge funds hit a 20-month high in June, according to the Barclay Fund Flow Indicator, as the financial markets weighed the risks of trade disputes and rising interest rates. Industry assets remained at $3.0 trillion, however, the firm says.
Data drawn from more than 5,000 hedge funds in the BarclayHedge database estimated that the hedge fund industry (excluding CTAs) gave up $8.9 billion (-0.3% of assets) in June, reversing inflows of $4.0 billion (0.1% of assets) the month before. June marked the largest outflow since October 2016.
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 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.”
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.
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