After a rough February, CTAs and other computer-driven hedge funds picked up in March where they had left off in 2014, when they were the best performers in the asset class.
In the first quarter, a number of commodity trading advisors and trend followers posted gains in the low double-digits.
According to Chicago-based hedge fund data collector HFR, CTAs and trend followers have benefited from strong trends and “effective positioning” in the oil and currency markets over the last year.
HFR notes in a recent report that The HFRI Macro: Systematic Diversified/CTA Index rose 5.1 percent in the first quarter while in March CTAs notched their tenth monthly gain over the past 12 months.
“Trend followers benefited from QE [quantitative easing] and posted gains on long equity and bond positions,” points out a recent report from Lyxor’s Managed Account Platform Research team.
The Bank of Japan recently marked the second anniversary of its easing program while the European Central Bank announced a new QE program in January.
Some funds far outperformed the strategy indices.
For example, the Mulvaney Capital Management Ltd. Global Diversified Program QEP rose 3.84 percent in March and was up 10.5 percent in the first quarter. Last year it advanced 67.35 percent after surging 43.11 percent in 2013 when most CTAs lost money.
ISAM’s International Standard Asset Management Systematic program rose 3.81 percent last month, and 15.34 percent for the quarter. The systematic program, launched in 2010, is headed by Stanley Fink, the former CEO of London-based hedge fund firm Man Group. The fund’s system was developed by Lawrence Hite of Mint Investment Management, who earlier had participated in a joint venture with Man when Fink headed the firm.
The CCP Quantitative Fund-Aristarchus program, managed by Cambridge, U.K.-based Cantab Capital Partners, rose 2.84 percent in March and 13.7 percent in the first quarter. The fund grew 39.32 percent last year after losing 27.65 percent in 2013.
Cantab was founded in 2006 by Ewan Kirk, Erich Schlaikjer and Christopher Pugh. 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.
The Aspect Diversified Program (QEP), managed by London-based Aspect Capital, rose 3.7 percent in March. However, it was “only” up 8 percent for the quarter. Its February loss, though, was much smaller than its more volatile peers.
Campbell & Co.'s flagship Managed Futures Program rose 2.8 percent in March and 7.9 percent in the first quarter. It was led by foreign exchange thanks to a net long exposure to the US dollar. It also had profitable short positions in the euro and British pound versus the U.S. dollar. “The commodity sector was also positive, driven by gains in energies and softs with small offsetting losses in metals,” Campbell adds in a letter sent to clients.
