Commodity trading advisors saw strong gains in August as they battle to get back into the black.
It’s been a very volatile year for the CTA strategy, with several funds continuing to post sizable losses and sharp declines in the first week of September.
CTAs, which are computer-driven investment managers that sometimes use a strategy called “managed futures,” mostly posted gains between 2 percent and 3 percent in August, according to Societe Generale’s prime services division. The gains cut their losses for the year to between 2 percent and 3 percent.
According to eVestment, managed futures funds gained 1.77 percent in August, paring this year's losses to 1.83 percent. The 10 largest managed futures funds in eVestment’s database had stronger performance last month, surging 2.81 percent to reduce losses for the year to 2.86 percent.
CTAs benefited from their long exposure to bonds and equities, according to a report from Lyxor Asset Management, a unit of Societe Generale. They also made money last month from their long energy/short gold positions, while being hurt by short positions on U.S. bonds as Treasury yields fell.
Trend following strategies were driven by commodities, currencies, and equities, with the SG Trend Indicator surging more than 4 percent last month to cut this year's losses to 5.76 percent.
“In particular, the continued downwards trends in soy beans, and precious metals such as gold, and upwards trends in crude oil produced positive performance,” Societe Generale Prime Services said in a report.
“Trend following conditions have improved over the course of August,” Lyxor said in a separate monthly report. “Across asset classes, positioning is not overextended and the risk of a significant trend reversal appears well contained.”
The main risk would be a big jump in bond yields in Europe and Japan, which would mean losses in long bond positions, according to the report.
[II Deep Dive: CTAs Are Losing Money and Investors Are Fleeing]
Several funds are in the black this year.
The $2.6 billion QMS Diversified Global Macro fund, managed by QMS Capital Management, is up about 4 percent through August despite posting a 0.57 percent loss last month, according to HSBC's hedge fund database. The QMS fund lost money in each of the two previous years.
David Harding’s Winton Fund was up about 2.3 percent through August.
Systematica Alternative Markets Fund, formed at the beginning of 2016 by Leda Braga’s Systematica Investments, was up 1.3 percent through August. The fund was up another 1.6 percent in the first week of September, according to HSBC.
Otherwise, many of the larger high-profile CTAs are solidly in the red for the year, extending their losses in the first week of September.
For example, Systematica Investments’ BlueTrend Fund is down 7.57 percent for the year through August, according to HSBC. It lost another 1.7 percent in the first week of September.
SAM uses the same models as BlueTrend, so the difference in returns is usually attributed to the markets traded by each of the funds, a source familiar with the fund pointed out earlier this year.
The Cantab Capital Partners Quantitative Fund - Aristarchus Program, managed by Cambridge, England-based Cantab Capital Partners, was down about 17.5 percent through August, according to HSBC. The fund fell another 2.4 percent in the first week of September.
Millburn Diversified Program, launched in 1977 by the legendary Millburn Ridgefield Corp., was down 2.7 percent through August. However, it trimmed this loss with a gain of about 0.6 percent in the first 12 days of September, according to HSBC.
Matthew Tewksbury’s Tewksbury Investment Fund was down about 3 percent through August, according to the bank's hedge fund database.
