Commodity trading advisers (CTAs) and other computer-driven hedge funds are well on their way to enjoying their best year since 2008, extending their gains in October, when many other funds lost money.
The Newedge CTA Index and the Newedge Trend Index each rose slightly more than 1 percent in October. As a result, the CTA Index is up 7.15 percent for the year, while the Trend Index has climbed by 8.2 percent.
Most CTAs and their cousins, the trend followers, fared even better. Although they were not among the best performers last month, most of them are climbing steadily as they string together a nice monthly winning streak, according to several hedge fund databases and the funds themselves.
“Managers have continued to post gains when risk sentiment improved, as they benefit from the resiliency of the bond market,” Lyxor Asset Management said in a recent report.
The report points out that short-term CTAs were the best strategy in October, posting a gain of 2 percent, and notes they “were the best suited to adjust quickly to the changing environment.”
In general, Lyxor notes that these funds — known as systematic funds — are making money from virtually all of their asset classes, benefiting from long positions in equities and the U.S. dollar and short exposure to commodities.
The report points out that in recent weeks “gains were especially generated” from being short the euro and Japanese yen among currency strategies and short energy and precious metals in commodities.
One of the best performers this year is Man AHL Diversified fund, which was up about 2.1 percent last month and has now risen nearly 21 percent for the year. It is managed by London-based Man Group.
Cantab Capital Partners’ Quantitative Fund Aristarchus Program surged 7.78 percent last month and is now up about 20 percent in the past three months. It has also made money five of the past six months. The Cambridge, UK-based fund is now up 11.69 percent for the year to date after losing 27.65 percent last year.
David Harding’s Winton Futures Fund had an especially strong month, gaining 4.38 percent. As a result, it was up about 6.41 percent for the year. The fund is managed by London-based Winton Capital Management.
The BlueCrest BlueTrend fund rose 2.18 percent and is now up 8.33 percent for the year. In 2013 the London-based fund lost money for the first time, falling 11.38 percent. In September, London-based BlueCrest Capital Management said it plans to spin off its $8.3 billion computer-driven hedge funds — including BlueTrend — into a new firm, Systematica Investments, which will be led by Leda Braga, BlueCrest’s head of systematic trading.
The Campbell Managed Futures portfolio rose 1.66 percent in October and is now up six of the past seven months after losing money the first three months of the year. The fund, managed by Baltimore-based Campbell & Co., is now up 8.68 percent for the year.
The Aspect Diversified Program, managed by London-based Aspect Capital, posted a 3.74 percent gain in October and is now up six of the seven most recent months. It is up 10.67 percent for the year. The fund lost money the two previous years.
Lyxor’s Epsilon Managed Futures Fund Class A U.S. dollar shares rose 1.13 percent in October and are now up 19.89 percent through October.
One CTA, however, lost money last month. Paris-based Capital Fund Management’s Discus Composite Program dropped 2.87 percent in October, its worst monthly performance since August 2013. Even so, it is up 10.75 percent for the year. It lost money in each of the two previous years and three of the past four years.
