Articles tagged by BarclayHedge
Managed futures traders gained 0.71% in February according to the Barclay CTA Index, which is compiled monthly by BarclayHedge. Year to date, the Index has decreased 0.02, however in February, Five of the eight CTA indices had gains. Meanwhile, hedge funds were up 0.99% in February according to the Barclay Hedge Fund Index, which is now up 2.38% after the first two months of 2017, its best start since 2013 when it had gained 2.77% by the end of February.
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%.
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.
Managed futures traders lost -0.98% in June, according to the Barclay CTA Index compiled by BarclayHedge.
This was the largest monthly decline so far this year as the index is down -1.65% through the first two quarters of 2017.
The BTOP50 Index, which tracks the 50 largest investable CTAs, also fell, registering a loss of -2.60% in June, and is down -4.77% for the year as well.
“The first half of 2017 has been difficult for the CTA industry,” says Sol Waksman, founder and president of BarclayHedge. “The combination of low volatility and sharp trend reversals has helped to suppress returns for managed futures.”
Hedge Funds gained 1.11% in July according to the Barclay Hedge Fund Index compiled by BarclayHedge. The index has risen every month this year and is up a cumulative 5.48% for 2017. Emerging Markets continued their recent strong run and led all sectors with a gain of 2.65% in July. Pacific Rim Equities posted their best performance of the year with a gain of 2.12% and Technology, which is the top performer for the year to date, was up 1.72%.
Managed futures traders gained 0.64% in July, according to the Barclay CTA Index compiled by BarclayHedge. The index is down 1.04% for the year.
The BTOP50 Index, which tracks 20 of the largest CTAs, showed a modest gain of 0.6% and is down 4.2% through the end of July.
“Managed futures traders were able to eke out gains last month in spite of the cross currents in commodity markets,” says Sol Waksman, founder and president of BarclayHedge. “Profits resulting from US dollar weakness against the euro and a new record high in the S&P 500 were enough to overcome losses from trend reversals in energy and agricultural products.”
A BarclayHedge survey of 134 hedge fund managers in July has revealed that 36.6% of survey respondents currently offer reduced or no fee alternatives to their investors and a further 20% plan to offer lower or no fee products in the next three-to-six months.
“The hedge fund industry has been under pressure to offer lower fee alternatives for some time,” says Sol Waksman, founder and president at BarclayHedge. “We expect that these pressures will continue and that low or no fee products will continue to grow."
Managed futures traders showed gains of 1.87% in August, according to a flash estimate of the BarclayHedge BTOP50. For the year-to-date period, the index is down 2.39%.
“Managed futures had its best month of the year and the best returns since June 2016 in August,” according to Sol Waksman, founder and president of BarclayHedge. “It’s too early to say that the industry has turned a corner, but the signs are positive.”
Systematic traders led the way with a gain of 2.63%; 13 of the 14 systematic traders in the BTOP50 were profitable in August. Discretionary traders were essentially flat for the month, losing 0.04%. Two of the three discretionary traders had small losses.
Managed futures traders gained 0.54% in August, according to the Barclay CTA Index compiled by BarclayHedge.
For the year, the index is still down 0.51%. “Geopolitical uncertainty had investors scurrying for the safety of sovereign bonds,” says Sol Waksman, founder and president of BarclayHedge.
“As Harvey advanced, Gulf Coast refineries sought safety. Refiners shut down and spot gasoline shortages propelled gasoline futures 28% higher in the closing days of the month.”
Five of the six sub-indices calculated by BarclayHedge recorded gains in August. Diversified (0.94%), systematic (+0.74%), discretionary (+0.28%), financial/metals (+0.17%) and currency (+0.02%) traders all gained. Agricultural traders were the only losing sector (-0.56%) of the month.
In a new survey conducted by BarclayHedge, two thirds of the hedge fund respondents said that are not planning to invest in cryptocurrencies, despite the current hype around these digital assets.
The survey of 119 hedge fund managers and CTAs was conducted between September 11 and September 29, 2017.
Managers were asked if they currently invest in or plan to invest in cryptocurrencies. In total, 68% answered “No,” while 24% responded that they either currently invest or plan to invest within the next six months. A further 8% replied, “We’re studying the situation.”
Hedge Funds extended their winning streak to 12 months with a 0.96% gain in October, according to the Barclay Hedge Fund Index compiled by BarclayHedge.
The index is up 8.31% for the year and has gained 10.40% since the current winning streak began in November 2016. Overall, 14 of Barclay’s 17 hedge fund indices registered positive returns for the month, with Technology leading the way as the big gainer year to date with a rise of 21.09% and 2.83% for October.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, shows a 1.75% gain in October. Year to date, the index is up 0.15%.
Diversified traders led for the month with a gain of 2.50%, followed by systematic traders at 2.46% and financial/metals traders up 2.02%. Currency traders notched a modest gain of 0.25% while discretionary traders fell 0.06% and agricultural slid by 0.31%.
“Global equity markets provided the biggest boost to returns as the S&P 500 rally moved into its 12th consecutive month and the Nikkei 225 rose to 20-year highs,” says Sol Waksman, founder and president of BarclayHedge.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.06% gain in November. Year-to-date, the index is up 0.25%.
“Choppy waters made for tough sailing in November,” says Sol Waksman, founder and president of BarclayHedge. “Although ongoing rallies in US and Japanese equities provided profitable trading for momentum strategies, trend reversals in currencies, precious metals and agriculturals weighed heavily on fund performance.”
Financial/metals traders were able to gain 0.1% in November. Most other CTA sectors had a very small increase or a loss for the month. The Systematic Traders Index rose 0.05% and discretionary traders added 0.03%.
Hedge Funds gained 1.21% in December according to the Barclay Hedge Fund Index compiled by BarclayHedge. The index was up 10.44% at the end of 2017.The Barclay Fund of Funds Index gained 0.66% in December, and ended the year with a positive return of 6.20%.Overall, 2017 was a good year for hedge fund performance, with the strongest annual return since an 11.12% gain in 2013 and 10.88% gain in 2009. All 17 of Barclay’s hedge fund indices ended the year in positive territory.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.54% gain in December. The CTA Index ended 2017 with a 0.69% gain.
“December’s 1.11% rise in the S&P 500 Index extended its unprecedented winning streak to 14 consecutive months and helped push trend traders’ returns a bit more into the black for 2017,” says Sol Waksman, founder and president of BarclayHedge.
He adds: “Continuing uptrends in energy and base metals were the main profit contributors from the commodity sector.”
Diversified traders gained 0.93% in December, systematic traders were up 0.40%, discretionary traders added 0.36%, and agricultural traders rose 0.23%.
Hedge Funds lost 1.53% in February according to the Barclay Hedge Fund Index compiled by BarclayHedge, although putting a good spin on it the firm says this compares to a 3.69% decline in the S&P 500 Total Return Index.
Year to date, the Barclay Index remains up 0.52%, but lags the S&P which has gained 1.83%.
Overall 13 of Barclay’s 17 hedge fund indices lost ground in February. The Global Macro Index was down 3.08%, Equity Long Bias lost 2.78%, Pacific Rim Equities were down 2.14%, and the Event Driven Index gave up 1.42%.
The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 2.89% loss in February, meaning year-to-date, the Index is down 0.33%.
The Diversified Traders Index fell 4.49%, Systematic Traders were down 3.67%, and Financials/Metals Traders lost 1.90%. On the positive side, Currency Traders gained 0.86%, Agricultural Traders were up 0.37%, and Discretionary Traders added 0.23% – after two months in 2018, the Discretionary Traders Index has gained 1.43%, Agricultural Traders are up 1.26%, and Financials/Metals Traders have a 0.49% positive return.
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.
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%.
Thus far, despite the hype and excitement around cryptocurrencies, most CTAs haven’t exactly been in a rush to start trading these assets. However, as Galen Stops reports, this might be about to change.
As Cboe and CME both prepared to launch bitcoin futures contracts in December 2017, the price of a single bitcoin roared upwards to peak at over $19,000.
For retail investors, the attraction of this particular cryptocurrency was that the price had been going up all year, having traded at around $985 per bitcoin in January of last year. For professional traders, the attraction of bitcoin was that it was an asset that was actually moving, it was uncorrelated to other assets and therefore offered diversification benefits and, on top of all this, was almost exclusively being traded by retail punters.
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%.
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 0.05% 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%.
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.