June proved difficult for CTA strategies, according to Newedge’s monthly performance data for its suite of hedge fund indices.
"Risk-on" movements in the first three weeks and final days of June hurt CTA positions, which were generally structured to benefit from an economic downturn.
29 June was especially trying as strong rallies in equity and commodity markets, alongside declines in interest rate and bond markets and the US Dollar, reversed pre-existing trends.
The Newedge CTA Index fell 3.28 per cent in June (-0.84 per cent YTD) and the Newedge CTA Trend Sub-Index was down 4.74 per cent (-0.91 per cent YTD).
Other indices posting negative returns were the Newedge Trend Indicator, down 9.20 per cent (-11.52 per cent YTD), Newedge Short-Term Traders Index, down 1.57 per cent (-0.96 per cent YTD), Newedge Macro Trading Index, down 1.17 per cent (-0.49 per cent YTD), Newedge Macro Trading Index (Quantitative), down 1.41 per cent (-0.89 per cent YTD), Newedge Macro Trading Index (Discretionary), down 1.00 per cent (-0.20 per cent YTD), and Newedge Commodity Trading Index (Equity) 0.53 per cent (-1.51 per cent YTD).
Meanwhile, the Newedge Commodity Trading Index rose 0.55 per cent (-1.87 per cent YTD) and the Newedge Commodity Trading Index (Trading) increased by 0.69 per cent (-1.99 per cent YTD).
The Newedge Volatility Trading Index was up 1.06 per cent in June (-3.01 per cent YTD).
The Newedge CTA Index’s top performers for the month of June included Man Investments (AHL Diversified): est. + 2.69 per cent; Armajaro Commodities Fund: + 1.38 per cent; and Quantitative Investment Mgmt. (Global): est. + 1.29 per cent.