Five years after Leda Braga launched her firm Systematica Investments, the firm has posted its best results ever.
Systematica BlueTrend fund, its best known vehicle, was up 13.6 percent in 2019, according to a private database. In the previous four years since Systematica took control of the fund from BlueCrest Capital Management, it lost 10 percent or so twice and twice gained in the low single digits.
BlueTrend’s trend following strategy trades in more than 200 liquid futures and OTC markets covering equities, fixed income, foreign exchange, energy, metals, and agricultural commodities, according to the company.
The fund’s assets have dropped to about $2.3 billion from nearly $8 billion when Braga took over, according to the database.
The firm’s Systematica Alternative Markets fund, launched at the beginning of 2016, has fared much better. It surged nearly 27 percent last year, according to the database, and managed $3.2 billion at year-end.
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Systematica Alternative Markets uses the same models as BlueTrend, so the difference in returns is almost exclusively a result of the markets traded, a knowledgeable person has said in the past. The fund focuses on markets that are not typically traded by CTAs, including interest-rate swaps, credit-default swap indexes, alternative commodities like power and coal, equity sector swaps, and emerging-markets foreign exchange, a spokesperson previously told Institutional Investor.
The firm did not respond to two requests seeking comment or insight.
Braga was previously president and head of systematic trading at BlueCrest for 14 years. Prior to BlueCrest, she was part of JPMorgan spin-off Cygnifi Derivatives Services.
According to Société Générale, bonds primarily drove trend-followers’ strong performance in 2019.
In fact, last year several firms’ gains far exceeded BlueTrend’s. But most of these top performers tend to be much more volatile than Systematica’s fund.
For example, Quantedge Capital, which has offices in Singapore and New York, surged 70.6 percent in its main global fund last year, according to HSBC data. Yet in 2018 it lost more than 29 percent, following gains of 38 percent or so in 2017 and nearly 27 percent in 2016.
In an email, Quantedge Capital said that more than half of the gains last year came from its fixed-income positions, especially during March through August. Equities played a strong supporting role, posting gains each month. It also made smaller returns from commodities and currencies positions.
Quantedge began last year with added risk bet on fixed-income investments compared to its long-term historical average, and noted that its model deemed the asset class to be relatively attractive. Through the second half of the year, the risk allocation returned to its long-term average: roughly equal risk weights to fixed income, equities, and commodities, with the remainder allocated across currencies and reinsurance.
The firm manages about $2.2 billion — an all-time high, despite net outflows at year-end. Upwards of 80 percent of the fund’s assets are invested via three-year or longer investment terms, according to the email. Quantedge also described significant investor interest in the fund since the last quarter of 2019 and expects net inflows for the coming months.
Cantab Capital Partners’ quantitative fund Aristarchus was up nearly 40 percent last year. The firm, which concedes to running at higher volatility than many of its peers, lost more than 23 percent in 2018 after gaining about 31 percent the previous year.
Cantab’s positive 2019 performance came from a spectrum of assets. Long bond positions across different countries were the top performer, with falling yields in the first three quarters of the year contributing to performance, according to the firm’s correspondence. Equity indices were the second contributor with mostly long positions profiting from stocks’ early bounce back and then consolidated rallies in the final quarter. Credit, options, interest rate swaps, and ETFs also generated positive returns for Cantab.
