Managed Futures traders, which are also known as trend followers, record a rare rise in the first two weeks of September, before the highly anticipated and misjudged Fed meeting took place. Just a few weeks ago, we reported the ubiquitously dull numbers that trend followers had posted in August, it seems that this month will be a different for the strategy. HFRX Macro/CTA Index is up 0.6 percent for the month through Sep 19, and the index was down 0.84 percent in the last month. CTAs/Managed Futures strategies posted the largest decline in August according to all hedge fund monthly updates we came across.
Take a look at how CTAs, Caxton Hawk, Cantab Capital, Winton, did in August.
CTAs: Cantab Capital, Man Group AHL, Winton rise in September
All returns are reported for the month until September 13 from HSBC Hedge Weekly, unless otherwise mentioned.
Man Group’s AHL Diversified rose 1.07 percent in this month, but is down 6.15 percent for the year. AHL Evolution also reported a return of 1.7 percent in the same period and is now up 6.14 percent for the year. Anthony Todd’s Aspect Dievrsified was up 1.2 percent until September 18, but is down 4.3 percent for the year so far. Aspect Capital is a Europe-based CTA.
One of the biggest losers of this year has been Cantab Capital’s Aristarchus fund, down 28 percent until the end of August. Turning its luck around, Cantab’s Aristarchus reported one of the highest gains in September so far with a +3 percent return. Aristarchus is still ranked in the worst-performing hedge fund of this year. Another consistent loser for the last couple of months has been Winton Capital, a London-based quant firm. Winton Capital’s Winton Futures Fund reported a rise of 4.16 percent until September 18, whereas Winton Evolution took in gain of 5.22 percent in the same period. Each of Winton’s funds is up +4 percent and 6.25 percent respectively.
CTAs: Graham Capital wipes out losses
Graham Capital, the largest of U.S.-based CTA, reported a +4.7 boost in returns until September 17 in its Graham K4D-15 Systematic Global Macro Program, pulling up the yearly returns to +5.5 percent.
Paul Tudor Jones’ Tudor Tensor Fund was up 0.5 percent until September 13, and returns are down 5.8 percent for the year. Campbell Global Assets Fund, which manages $2.7 billion was up 0.3 percent, and has now gained a 10.17 percent return in this year.
Renaissance Institutional Futures Fund managed by Renaissance Technologies has taken in a gain of 0.91 percent in this month, while yearly returns are down 2.9 percent now.
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