CTA trends following trades are set to have a choppy few months ahead as markets move erratically across the globe. CTSd who trade managed futures have continued to underperform in June as volatility spiked in the major markets. Winton Capital Management’s Winton Evolution Fund took a dip of -3.21 percent to June 21, bringing year to date returns to a mere +2.7 percent.

Quant Funds CTAs

Anthony Todd’s Aspect Capital stayed on the losing end in both May and June. Aspect Diversified Fund fell 5 percent in May and has lost 0.76 percent in June so far. However the fund took a gain of 3.1 percent in the week of June 14-21. Aspect Diversified is down 2.4 percent YTD.

BlueCrest Capital’s BlueTrend Fund, a $11.3 billion managed futures trader, has lost 8.3 percent to June 21, crumbling the year to date returns to -9.2 percent. The fund was down -8.16 percent in May as well.

CTAs Looking for Patterns Were Hit Hard

Graham Capital Managment’s Graham K4D-15 Systematic Global Macro Program has been the biggest loser, trending down 11.3 percent in June bringing down the yearly performance to 3.12 percent. Transtrend Dvisersified Trend Program, another futures trader, is down 1.2 percent for the month and has lost 2.17 percent YTD.

CTAs, or the so called quant funds, have not had a particularly great year anyway even if the last few weeks are taken out of the picture. However as markets reversed and refused to follow patterns, some of the CTAs were hit hard.

According to data from Barclay, hedge CTAs managed $337.2 billion out of $1.8 trillion assets under management for the hedge fund industry it covers. Whereas Hedge Fund Research shows that CTAs claim a third of the  $2.3 trillion hedge fund industry.

‘Battle of the Quants’ Reveals Current Win Strategies

HFRI Macro/CTA Index fell 2.2 percent in May whereas benchmark indices are down—Newedge CTA Index is down 2.3 percent month to date, Barclay CTA Index was down 1.52 percent last month. As markets reversed their earlier trends and gave back their gains, CTAs who moved to short term strategies were able to weather the storm. This was noted in the recently held “Battle of Quants” in London. Funds who reduced their allocation in trend following saved themselves from major losses. Quant funds who have combined their strategies and are not just following trends have done better in the market conditions that have prevailed in the past years.

One of the futures trader who appears to have bested the market pullback is NuWave Investment Management’s NuWave Combined Futures Portfolio which is up 2.19 percent for this month. NuWave’s CTA has not done equally well through the rest of the year, and returns were down 2.4 percent for the year through May.