The continued decline in oil prices appears to have helped another group besides consumers. CTAs and other computer-driven hedge funds — also known as systematic funds — enjoyed another strong month of performance, putting them on track to enjoy their best year since 2008, thanks in large part to short bets on oil.
In several cases, the funds are poised to snap multiyear losing streaks, and some individual funds are posting performances that rank among the best for hedge funds in general this year. On average, the Newedge CTA Index jumped 4.85 percent in November and is up 13 percent for the year, while the Newedge Trend Index surged 5.83 percent last month and is now up 15.36 percent for the first 11 months of the year.
This compares with Hedge Fund Research’s HFRI Fund Weighted Composite Index, which tracks all hedge fund strategies. This index climbed 1.2 percent in November and is up only 3.7 percent for the first 11 months this year, once again proving that CTAs and managed-futures strategies are uncorrelated with most markets.
Anthony Lawler, portfolio manager at London-based GAM Alternative Investments Solutions, which runs single-manager hedge funds and funds of hedge funds, says in a recent report that trend followers derived about half of their November performance from short positions in oil, with another one quarter of gains coming from long positions in U.S. and European fixed income, and the rest from being long the U.S. dollar and long equity positions. Kenneth Heinz, president of Chicago-based Hedge Fund Research, says in its recent performance report that November’s gains in systematic macro strategies were heavily driven by short positions in oil and long positions in the U.S. dollar.
David Harding’s London-based Winton Futures Fund, for example, jumped 5.86 percent last month, bringing its gain for the year to 12.64 percent. The fund invests in futures and equities. It is managed by Harding’s London-based firm, Winton Capital Management.
The firm’s Winton Evolution Fund, which invests in futures but is more heavily invested in equities and experiences higher volatility than the Winton Futures Fund, jumped 7.5 percent in November and is up 15.48 percent for the year. The Winton Global Equity Fund, which is a long-only equity fund, rose 2.75 percent last month and is up 8.58 percent for the year, while the Winton Diversified Futures Fund, a U.S. onshore futures-only fund, gained 5 percent last month and is up 13.38 percent for the year. In general, Winton’s gains were driven by global equities, the depreciation in the Japanese yen and falling oil prices, according to a person familiar with the results.
The CCP Quantitative Fund - Aristarchus Program, managed by Cambridge, UK–based Cantab Capital Partners, posted an eye-popping 18.19 percent gain in November, easily its best monthly performance in its eight-year history. As a result, the fund is up 32 percent for the year and is poised to enjoy its second-best year ever. This is a big reversal of fortune for the fund, which lost 27.65 percent in 2013.
Meanwhile, London-based Man Group’s flagship Man AHL Diversified fund jumped another 7.58 percent in November and is now up 30 percent for the year, according to a document from investment bank HSBC that tracks hedge fund performance. As a result, the fund has more than erased the losses it suffered in each of the previous three years.
The Aspect Diversified Program, managed by London-based Aspect Capital, posted a 12.02 percent gain in November, its best monthly return since December 2002 and its second-best month since the program was launched in December 1998. It is now up 24 percent for the year, easily offsetting its losses in each of the two previous years.
BlueCrest Capital Management’s BlueTrend fund gained 4.13 percent in its sterling shares last month; they are up about 17.26 percent for the year, according to the latest results reported by the firm. The BlueTrend program manages about $7.7 billion, according to the firm.
Even newer funds have participated in the big systematic rally. The Secor Alpha Fund posted a gain of 7.43 percent in November, lifting its gain for the year to 22.58 percent. The $170 million systematic global macro fund, managed by New York–based Secor Asset Management, enjoyed gains from shorting oil, especially exploration and production equities, within its market neutral portfolio. It also earned gains from long positions in government bonds, both in the U.S. and in other countries.
The Secor fund, which began trading in September 2012, is headed by Raymond Iwanowski, who was previously co-chief investment officer of the Quantitative Investment Strategies group at Goldman Sachs Asset Management (GSAM), which managed about $100 billion.
