CTA hedge fund strategies, often described as ‘trend followers’, started the year struggling due to currencies and commodities pressure – though hedge funds as a whole began 2017 with a “strong” return.
CTAs, or ‘commodity trading advisers’, lost over 1%, according to two indices that track their performance.
CTAs generally use futures contracts to invest in various underlying assets, not just commodities, and are computer-driven.
The indices include the Societe Generale Prime Services’ SG CTA Index, which lost 1.13% in the month.
Tom Wrobel, director of alternative investments consulting at the firm, said: “CTAs haven’t had an easy start to 2017, and it is interesting to see that short term traders have struggled most in the current environment. The reversal of trends in the currency sector, and lack of trends in commodity markets, has proved particularly challenging, not helped by growing uncertainty around how the [Donald] Trump presidency will impact on markets.”
The difficulties faced by CTAs appeared to reflect problems in the wider ‘macro’ hedge fund sector in which HFR, a hedge fund index firm, groups them.
HFR’s Macro: Systematic Diversified/CTA Index fell 1.2% and the broader macro index fell 0.5% in January.
However, hedge funds overall returned 1.2% in January, led by equity hedge strategies, according to HFR.
Kenneth J. Heinz, president of HFR, said: “Hedge funds produced gains to begin the new year, as global equity markets posted mixed performance and the US dollar declined with financial markets focused on new policies of the Trump administration regarding strategic impact on immigration, trade, manufacturing, national security, market regulation and infrastructure.”
©2017 funds europe
