For most hedge fund investors, the 2008 market meltdown is increasingly a faded memory, as most of their investments have either topped their previous highs or come very close to it.
However, one group that is longing for the good old days of 2008 is commodity fund managers. They continue to struggle, posting yet another half year of losses, especially after a devastating June.
The average commodity or managed futures fund was down between 2 and 5 percent in June alone, pushing these funds down somewhere in the 2 to 4 percent range for the first six months of the year, according to the handful of firms that compile hedge fund data. As a result, several of the individual funds are heading for their third straight year of losses.
Among the worst-performing systematic managed-futures funds — those that rely on computer programs to decide on and execute trades — this year is the $788 million Renaissance Institutional Futures Fund (RIFF), which lost 4 percent in June alone, putting it down about 7 percent for the first half of the year. Renaissance Institutional Diversified Alpha Fund (RIDA), which was launched in March 2012 and had $4.9 billion in assets at year-end, lost 2.39 percent in June, pushing it into the red for the first half of the year by nearly 1 percent. These funds are managed by East Setauket, New York–based Renaissance Technologies Corp. Last year RIFF lost 3.17 percent, while RIDA fell 1.28 percent.
The RIFF funds use leverage to trade global futures and forwards, aiming for low correlation to other asset classes. Their expected holding period is about four to six months. The RIDA funds trade global futures and forwards as well as U.S. and non-U.S. equities listed on U.S. exchanges. The typical holding period for equities averages more than one year versus four to six month for futures.
Another high-profile fund, London-based BlueCrest Capital Management’s $11.7 billion BlueTrend fund, lost 9.48 percent in June, putting it down 10.44 percent for the year. We earlier reported that the fund lost 16.9 percent between May 17 and June 28. The computer-driven fund is headed by Leda Braga. It was flat last year and up less than 1 percent in 2011.
The once-vaunted Man AHL Diversified Fund lost 4 percent in June and is now down 3.25 percent, according to a document from HSBC that lists the performance for several hedge funds. Man AHL Diversified lost money in each of the two previous years. Until a few years ago, it was one of London-based Man Group’s top-performing funds.
Another onetime high flier that has fallen from grace is the Clive Fund, which is classified as a commodities fund. It lost another 1.55 percent in June and is now off 3.49 percent for the year. This comes off two consecutive annual losses in the high single digits. The fund, founded by former top Moore Capital Management commodities trader Christian Levett, led his London-based fund to a 44 percent return in 2008.
The Aspect Diversified fund, from London-based Aspect Capital, was down 6.4 percent in May but gained 0.33 percent in June. However, this still left the fund down nearly 1 percent for the year. In the first three trading days of July, it lost another 1 percent, putting it down 1.87 percent for the year. The fund lost about 10.7 percent in 2012 after posting a 4.5 percent profit in 2011.
Another fund that continues to struggle is the Tudor Tensor Fund, headed by Steve Evans. It lost 4.5 percent in June, putting it back into the red by 2.2 percent. It also lost money the two previous years.
CTAs were hurt in June by the sell-off in the bond and equity markets, having been heavily positioned on the long side, according to a monthly newsletter published by Lyxor Asset Management, a subsidiary of Société Générale Group. The funds were also hurt in the first half of the month by the weakness in the U.S. dollar versus other G7 countries.
“The continued decline of commodity prices was a positive contributor, although not enough to offset the losses in other asset classes,” the report stated.
The June sell-off may have come at an especially bad time for investors. According to Peter Laurelli, a vice president at industry research firm eVestment, commodity funds, which had been suffering outflows in 2013, seemed to see a reversal of that trend in June as early indications for the month showed that commodity fund flows may have been strong. If the current data holds, commodity fund flows were positive by $2.42 billion in June, making the second quarter and year-to-date flows positive, Laurelli said.
“The commodity space has been challenging in terms of generating performance and gaining assets,” said Laurelli in an e-mail message. “But it’s possible the recent sell-off in precious metals, along with rising energy prices, sparked what may be seen as a turning point in the space, at least in the eyes of investors via flows.”
