Commodity Trading Advisors (CTA) were the worst performers of all hedge fund strategies last month, despite some hedge funds making good returns with this strategy in the first half of the year.
The latest statics from Lyxor reveal that both short term and trend following CTA’s lost money this month, with negative returns of 2.3% and 1%, respectively.
While trend-following CTAs gained on being long equities, which have generally risen over the past few months, they also suffered losses on long positions in agricultural commodities, energy, and the US dollar, Lyxor’s report elaborates.
So far this year, some CTA managers have managed to make a lot of money, according to some hedge fund selectors.
However, it is worth noting that CTA returns have had wider dispersion than most other hedge fund strategies, which have been relatively tightly correlated over the last six to nine months.
The negative performance of CTAs makes a sharp contrast to most other hedge fund strategies covered by Lyxor’s research. Lyxor explains CTAs often act as a “de-correlated portfolio diversifier.”
Of the 14 strategy indices on the list, 11 have ended the month of September in positive category.
Stefan Keller, head of managed account platform research and external relations at Lyxor Asset Management, said: “Hedge fund managers had a hesitant if not cautious view on Europe, which led to low directionality and leverage in portfolios. That has started to be adjusted upwards during September.”
The Lyxor L/S credit index performed particularly well last month, gaining 1.2%. Year to date it is up 6.4%, having posted gains in all but one months this year.
Equity-oriented hedge fund managers have also done well, with equity long/short bias funds leading the way. The Lyxor L/S equity – long bias index is up 1.5% in September and 8.7% year to date.
Event driven funds and global macro funds have also displayed good performance figures. These strategies have been supported by the opportunities provided by both the equity and credit markets, and the moves in the commodity and foreign exchange markets over the summer.
Overall, the Lyxor hedge fund index has gained 0.2% in September, up 2.2% year to date.
Volatility was low and fundamentals generally overrode emotions, so some risk assets rose in value, such as equities and corporate bonds, the report states.