The computer geeks continue to kick butt.
Commodity trading advisers, managed futures and other strategies driven by computers racked up very strong gains in February, and many of them are up by double digits this year. Their huge surge is in stark contrast to the discretionary managers, who rely on human decision-making processes. Many of these managers are deeply in losing territory this year even as the global stock markets slowly inch back to break-even.
Meanwhile, many of the so-called systematic managers are way outperforming the composite indexes. For example, Chicago-based data tracker HFR’s HFRI Macro: Systematic Diversified Index climbed by 3 percent in February and is up 5.6 percent for the year.
In announcing the month’s results, HFR said these managers benefited from oil, which reversed earlier big losses, and the British pound, which “fell sharply” against the U.S. dollar and Japanese yen.
“The volatile and uncertain current market environment, dominated by both powerful trends and sharp reversals, has shifted to favor Macro strategies and specifically quantitative, trend-following CTA strategies,” said HFR president Kenneth Heinz in a press release.
In February, Société Générale subsidiary Lyxor Asset Management’s CTA index rose 1.7 percent, boosting its gain for the year to 5 percent. “CTAs continued to outperform in February despite trend reversals in equity and commodity markets,” points out a new monthly report from Lyxor.
The firm notes that CTAs benefited from their long positions in fixed income and the U.S. dollar versus the euro as central banks “remain very accommodative.”
Investors who poured into the strategy last year are clearly being rewarded. According to eVestment, assets in its broad managed futures category rose by $13.35 billion in 2015 to $127 billion after suffering a net decline of $35 billion in 2014.
One of the best performers this year is the Mulvaney Global Markets Fund, managed by London-based Mulvaney Capital Management. The systematic long-term trend-following program surged 10.75 percent last month, bringing its two-month gain to 17.33 percent. It made by far the most money in the past month and year to date from interest rate trading, benefiting from the bond market rally this year. Its second-largest source of gains is energy trading. Last year the program lost less than 1 percent. However, the two previous years it was up 67 percent and 43 percent, respectively.
The Roy G. Niederhoffer Diversified Offshore Fund, managed by New York–based R.G. Niederhoffer Capital Management, gained about 10 percent last month and is up 16.35 percent for the year. Performance was positive across all of the asset classes in which it invests, led by equities and fixed income.
The CCP Quantitative Fund - Aristarchus program, managed by Cambridge, UK–based Cantab Capital Partners, added 5.5 percent last month and is up 14.4 percent for the first two months. Cantab was founded in 2006 by Ewan Kirk, who ran Goldman Sachs’ quantitative strategies group in Europe and oversaw quantitative technology for the firm, and Erich Schlaikjer.
The International Standard Asset Management (ISAM) Systematic Trend fund, managed by Stanley Fink’s London-based ISAM, rose 4.5 percent in February and is now up 10.4 percent for the year. It was up 14.9 percent in 2015 and 62 percent the previous year.
Other computer-driven funds have posted gains in the upper single digits this year. They include the BlueTrend fund, managed by Leda Braga’s Geneva-based Systematica Investments. It gained 2.19 percent for the month and is up 9.82 percent for the year. Gains were primarily driven by long positioning in fixed income.
The $2.8 billion QMS Diversified Global Macro fund, managed by QMS Capital Management, returned 2.4 percent last month and is up 7.8 percent for the year. The Durham, North Carolina, firm is headed by Michael Brandt, who is also the Kalman J. Cohen Professor at Duke University’s Fuqua School of Business.
New York–based Two Sigma Investments’ Two Sigma Compass fund rose 3.1 percent in February and is up nearly 8 percent for the year.
