Hedge funds enjoyed a reasonable May according to the Barclay Hedge Fund Index, which rose 2.74%, the index remains in negative territory for the year, however, at -4.67% All 30 sub-indices were up for the month, led by the Emerging Markets Global Fixed Income Index at +6.03%, however year-to-date only six are positive – unsurprisingly […]
The Cryptocurrency Traders Index starred in the latest Barclayhedge CTA Index, the segment reporting a 16.82% return for the month (albeit with just over 55% of funds reporting compared to the more normal rate for other segments of 70-80%). By contrast, the Currency Traders Index, having had two strong months, was the worst performer, returning […]
The Barclay CTA Index was unable to maintain momentum in May, dropping 0.19% and reflecting a negative month for these funds. In an issued release, BarclayHedge attributes general poor performance to global trade wars and tariffs, which have consequently led to damaged equity markets and oil prices. The Currency Traders Index was one of the […]
CTAs struggled in May as markets pulled back from established trends, according to the latest data by Societe Generale (SG) CTA indices. The SG CTA Index was down 2.36% last month, however, it still remains in positive territory for the year at 2.22%. Trend following strategies have performed well in 2019, but in May the […]
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 1.29% loss in October. Year to date, the Index is down 2.87%.
Six of the firm’s Managed Futures indices lost ground in October, while three had gains. Cryptocurrency Traders gave up 3.62% in October, MPI Barclay Elite Systematic Traders lost 3.15%, Diversified Traders were down 2.32%, the Systematic Traders Index lost 1.93% and Financial/Metals Traders dropped 0.43%. The Currency Traders Index had the largest gain in October.
Roger Boehler and Kevin Nay Yaung have launched a new currency fund called Limmat Currency Partners (LCP).
LCP is headquartered in Westport, Connecticut, with Boehler serving as the firm’s CEO and Yuang operating as a general partner.
According to the firm’s website: “The Limmat Currency Partners (LCP) LLC investment program applies a range of quantitative and systematic techniques to the most liquid currencies in the global foreign exchange markets. We use transparent and robust investment inputs combining momentum, relative value and risk parity elements in a clearly defined repeatable process.”
LCP looks to approach the currency markets by combining algorithmic programming, unbiased and robust trade entry and exit signals and a rigorous risk management framework. The firm is registered as a Commodity Trading Advisor (CTA) with the US Commodity Futures Trading Commission (CFTC) and is a member of the National Futures Association (NFA).
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.
Commodity trading advisors (CTAs) endured another difficult month in September, according to data from Societe Generale (SG) Prime Services.
Its flagship SG CTA Index ended the month down 1.2% and overall in Q3 it entered negative territory for the first full quarter since Q2, 2015.
All of SG’s managed futures indices had negative performance in September, with the SG Trend Index down -1.93%.
The SG CTA Index continues to lead performance year to date however, and is still in the black at 0.95%, followed by the SG Short Term Traders Index up 0.59%.
The US Commodity Futures Trading Commission (CFTC) has filed a civil enforcement action against a CTA claiming to have grown 2,675% in two years with a 99.55% trade win ratio.
Jamal Vance and All City Investments (All City) are the defendants in the action, they are charged with solicitation fraud in connection with an FX scheme and with failure to register as Commodity Trading Advisors (CTAs). According to the CFTC’s complaint, the defendants solicited customers on their website to open and deposit funds into their own accounts with a brokerage services firm that provides an online forex trading platform, and to sign a limited power of attorney form, which designated All City as that customer’s agent and attorney-in-fact for the purpose of buying and selling margined FX transactions for the customer’s account.
New data from Societe Generale Prime Services shows that CTA performance was down across the board in August for its SG CTA indices.
All of the SG CTA indices were in the red last month, with 19 out of the 20 CTA Index constituent strategies ending August negatively.
The SG Short-Term Traders Index produced the lowest returns in August at – 3.41%, despite remaining the strongest performing of the managed futures indices year-to-date. The flagship CTA index also remains in solidly positive territory year-to-date at 2.19%.