Most CTAs and trend followers bounced back in February, posting gains for the month. Still, most funds plying these strategies remain down for the year, following a tough January.
The Newedge CTA Index gained 0.61 percent in February, cutting its loss for the year to 1.71 percent. The Newedge Trend Index gained 0.53 percent but is still down 4 percent for the year.
Even so, several funds managed to move into winning territory for the first two months of the year. They include David Harding’s Winton Futures Fund, which posted a solid 2.5 percent profit in February and is now up 0.13 percent for the year. Winton continued to benefit heavily from the strong performance in equities. In fact, the Winton Equity Fund gained 2.4 percent February and is now up 0.31 percent for the year, while the Winton Global Equity Fund — a long-only equity fund — rose 5.19 percent for the month and is up 1.81 percent for the year. The funds are managed by Harding’s London-based firm, Winton Capital Management.
The Quantitative Investment Management Global Program posted a 0.43 percent gain in February, pushing it up 1.42 percent for the year. It is among the most consistent funds in the strategy, posting profits for five straight months and gains in seven of the past eight months. The short-term systematic trading strategy — meaning it uses computers to make investment decisions — trades only futures. It is an offering from Charlottesville, Virginia–based Quantitative Investment Management, one of the world’s largest commodity trading advisers.
Other funds posted strong gains in February but remained down for the year due to rough starts in January.
For example, the Aspect Diversified Program, managed by London-based Aspect Capital, rose 1.65 percent last month but is still down 4.08 for the year. In 2013 it lost 4.46 percent.
The CCP Quantitative Fund - Aristarchus Program, managed by Cambridge, UK–based Cantab Capital Partners, also gained 1.65 percent in February but is still down 5.36 percent for the year. In 2013 it was one of the worst-performing hedge funds, losing 27.66 percent.
London-based BlueCrest Capital Management’s BlueTrend gained 2.72 percent in its dollar shares in February and 2.94 percent in its sterling shares. Nonetheless, it is down 1.44 percent and 1.23 percent, respectively, for the first two months of the year.
Last year BlueTrend suffered its first annual decline. Its February letter to clients is not out yet. However, after posting a loss in January, the fund told investors that fixed income and crop sectors made money for the fund in January, while the rest of the markets it invests in lost money. It also lost money in equities, led by the Nikkei, followed by the S&P 500 and several other indexes. It also lost a little money in January from currencies. In January the fund said the main changes to risk were decreases in the equity and energy sectors and increases in fixed income.
London-based Man Group’s Man AHL Diversified Futures fund was roughly flat last month and as of March 6 was down 1.9 percent. The fund last month enjoyed some gains from fixed-income trading and agricultural commodities, according to a report sent to clients in late February. It also made money from long bets on bonds and short-term interest rates, reversing some of the sector’s losses from the prior month “as markets returned to a more cautious state, following the overwhelmingly bullish nature of January,” the report said.
In fact, so-called safe haven bonds such as U.S. Treasuries contributed some of the larger gains, according to the report, although the fund also made money from emerging-markets bonds as well. Several interest rate plays also made money, including long positions in the Eurodollar, Euribor (Euro Interbank Offered Rate) and Short Sterling (three-month sterling). On the other hand, the fund lost money on its long exposure to equities and short exposure to the cost of credit default protection.
Baltimore-based Campbell & Co.’s Campbell Managed Futures Program, on the other hand, is off to a somewhat rough start this year. It lost 4.3 percent in February and is now down 6.6 percent for the year. Losses came from the foreign exchange and commodity sectors, while interest rates and equity indexes were moderately positive.
