| David Harding, Winton Capital (Bloomberg) |
Commodity trading advisers and other computer-driven hedge funds moved back into the black in July after a very rough second quarter.
The HFRI Macro: Systematic Diversified/CTA Index rose 2.1 percent in July after losing 3.5 percent in June, the worst monthly loss since May 2011, according to Chicago-based hedge fund data tracker Hedge Fund Research. For the year the index is up 0.55 percent.
Many of the larger, well-known CTAs fared even better than the indexes in July. This is a big relief for investors who piled into the strategy this year after CTAs last year racked up their strongest gains after several years of losses.
The strategy was boosted last month by shorting certain commodities and going long the U.S. dollar and certain equity positions, according to HFR, which noted that many of these positions have reversed from June. A research report published by Lyxor Asset Management on July 27 pointed out that in that month many CTA managers benefited from boosting their short positions in precious metals and energy since the end of May, as gold and energy prices dropped last month. The report also said that CTAs have no emerging-markets currency exposure.
“The slump in several EM currencies since mid-July is not having any meaningful implication for hedge funds,” the report added.
David Harding’s Winton Futures Fund, for example, gained about 4.4 percent in July and was up about 4.4 percent for the year. It is managed by London-based Winton Capital Management.
Stanley Fink’s ISAM, the International Standard Asset Management Systematic Program, also enjoyed a very strong July after losing money in each of the three months of the June quarter. The program was up 7 percent last month and is now up 7.81 percent for the year. ISAM applies purely trend-following systems to more than 130 global financial and commodity futures markets, says Managedfutures.com, which notes that trading takes place 24 hours a day, “with trades generated automatically in response to changing market conditions.”
Mulvaney Capital Management’s Global Diversified Program QEP, meanwhile, moved back into the black last month when it rose 4.77 percent. The London-based portfolio is now up 4.18 percent for the year. Last year it surged 67.35 percent after rising 43.11 percent in 2013, when most CTAs lost money.
The program invests in commodities and financial futures contracts in more than 45 markets, taking a long-term approach to capturing trends, and holds positions, on average, for six months, according to Managedfutures.com. The program is designed to make money in all market conditions.
On the other hand, several funds are still in the red despite posting strong gains in July.
For example, Man Group’s AHL Diversified surged 6.24 percent last month. Even so, the London fund is still in the red for the year, down about 0.6 percent. It was up nearly 34 percent last year.
Baltimore-based Campbell & Co.’s Managed Futures program and Global Assets Fund each gained 3.2 percent in July, reversing three straight months of losses. However, they are still down about 3.9 percent for the year.
According to Campbell’s July monthly report, only metals and foreign-exchange trading have been profitable this year, although energy trading was profitable in July.
The CCP Quantitative Fund-Aristarchus program, managed by Cambridge, UK–based Cantab Capital Partners, jumped 6.3 percent in July in what has been a very volatile year. The program got off to a fast start this year, surging 13.4 percent in January. However, the program then posted losses of 9 percent in April and about 8.6 percent in June. As a result, it is down 0.1 percent for the year.
Cantab was founded in 2006 by Ewan Kirk and Erich Schlaikjer. Kirk, who was named an Institutional Investor Rising Hedge Fund Star in 2009, ran Goldman Sachs’ quantitative strategies group in Europe and was responsible for all of the firm’s quantitative technology.
Matthew Tewksbury’s Tewksbury Investment Fund also lost 0.1 percent, bringing the Bermuda-based fund’s loss for the year to roughly 1.5 percent.
On the other hand, Quantitative Investment Management’s Global Program QEP, which seems to march out of step with most of its peers, lost 1.47 percent in July. However, it posted profits in each of the previous three months, gaining about 10 percent in the second quarter. So, it is up 9.1 percent for the year.
The fund also lost more than 14 percent last year, when most CTAs enjoyed their best year since 2008. The firm stresses that due to its short-term trading strategy, the fund has little correlation to not only the traditional market indexes but to longer-term managed futures strategies as well.
