It is no secret that commodity trading advisers, whose trading models are computer driven, were the best-performing hedge funds in an otherwise lousy year for this high-fee-charging group. We chronicled their rebound throughout 2014, which followed several consecutive years of poor performance.
Chicago-based data tracker Hedge Fund Research figures CTAs gained 11.2 percent, on average, in 2014, while Atlanta-based data provider eVestment says their aggregate performance was closer to 8.63 percent, adding that the largest managed-futures funds surged an average of nearly 14 percent.
However, quite a few funds finished the year with outsize gains that were several multiples of the return of the composite indexes. Many of these funds either were long equities and the U.S. dollar or short energy, other commodities or currencies — such as the euro — to name just a few winning trades.
Perhaps the best performer was London-based Mulvaney Capital Management’s Global Diversified Program QEP, which finished the year up 67.35 percent. This followed a 43.11 percent gain in 2013, a year when most CTAs either lost money or barely eked out small gains. However, it did lose about 33 percent in 2012. The program, launched in 1999 by Merrill Lynch veteran Paul Mulvaney, had about $218 million under management at year-end, according to Altegris Clearing Solutions, which tracks managed-futures performance.
Meanwhile, ISAM’s International Standard Asset Management Systematic program surged 62.42 percent last year. The systematic program, launched in 2010, is headed by Stanley Fink, the former chief executive officer of London-based hedge fund firm Man Group. The 2014 gains easily wiped out losses of more than 10 percent in 2013 and more than 17 percent in 2012.
The fund’s system was developed by Lawrence Hite of Mint Investment Management Co., who earlier had a joint venture with Man when Fink was heading the firm.
The fund has about $350 million in assets, while the strategy, which includes the fund, is running about $750 million in total. Altogether, the firm is managing about $820 million. The strategy last year benefited mostly from strong trends in energy contracts, most recently oil contracts, according to a person with knowledge of how the firm generated returns.
The ISAM fund also did well with its negative bet on crops through the middle of the year. For example, corn prices plunged 35 percent from May through September.
Meanwhile, a fund managed by Cambridge, UK-based Cantab Capital Partners finished the year strongly. The CCP Quantitative Fund - Aristarchus program gained 5.48 percent in December, following an 18.25 percent gain in November. As a result, it finished 2014 up 39.32 percent. The strong performance enabled the fund to wipe out the 27.65 percent loss of the previous year.
Cantab was founded in 2006 by Ewan Kirk, Erich Schlaikjer and Christopher Pugh. Kirk — an Institutional Investor rising hedge fund star in 2009 — has a PhD in mathematical physics from the University of Southampton. He ran Goldman Sachs’ quantitative strategies group in Europe and was responsible for all of the firm’s quantitative technology.
At the beginning of 2014, the firm had $3.9 billion, down from $4.7 billion the previous year, according to Alpha’s 2014 Europe Hedge Fund 50 ranking.
Elsewhere, the Aspect Diversified Program (QEP), managed by London-based Aspect Capital, finished last year up 32 percent. This marked its best year since its launch in December 1998. In fact, it made money in eight of the final nine months of the year, and its only monthly loss was less than 0.1 percent.
Aspect ranked No. 20 on the Europe Hedge Fund 50 with $5.6 billion, down from $6.7 billion the previous year. Also, London-based Man Group’s Man AHL Diversified fund rose 32 percent.
Meanwhile, the Campbell Global Assets Fund Class A rose 19.9 percent. This is the $3.8 billion flagship strategy of Baltimore-based Campbell & Co., which manages a total of $4.5 billion. G. William Andrews, the firm’s chief executive officer, said in an e-mail that the strategy in 2014 made most of its money in fixed income, foreign exchange and commodities in 2014.
Fixed income and foreign exchange trading benefited from a strengthening U.S. dollar and what Andrews calls “diverging monetary policies across the globe.” A big part of the fund’s gains in commodities came from short positions in energy. It lost money in stock indexes.
On the other hand, the Winton Futures Fund, managed by London-based Winton Capital Management, has benefited from the surging stock market over the past few years. For example, it gained 13.87 percent last year, while the Winton Evolution Fund, which invests in futures but is more heavily invested in equities and experiences higher volatility than the Winton Futures Fund, surged 17.23 percent in 2014.
Among smaller funds, the Secor Alpha Fund jumped 6.7 percent in December, pushing up its gain for the year to 30.7 percent. The systematic global macro fund, which manages a little less than $200 million, is operated by New York–based Secor Asset Management. The firm is headed by Raymond Iwanowski, who was previously co-chief investment officer of the Quantitative Investment Strategies group at Goldman Sachs Asset Management.
