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Managed futures lost 1.31% in June according to the Barclay CTA Index compiled by BarclayHedge. Year-to-date, the Barclay CTA Index is down 1.51%. Seven of Barclay’s eight CTA indices had losses in June.
The Barclay Diversified Traders Index dropped 2.24%, Systematic Traders were down 1.97%, Agricultural Traders lost 0.11%, and Currency Traders were down 0.35%.
“The only thing that went up in June was volatility,” says Sol Waksman (pictured), founder and president of BarclayHedge. “Three major trends are creating a deep underlying uncertainty that is driving this volatility.
“The first issue is loose money in developed markets in an attempt
Although they outperformed the broader market, July was a second tough month at the office for Australian hedge fund managers. Based on 70% of the funds that have reported to date, the average fund lost -1.41% compared with the ASX 200 which fell -2.13%. This follows from May’s negative results when the average fund lost -0.68% compared with the ASX 200 which fell -2.38%.
At one stage the ASX200 was down around 6%, before a rally and some year end window dressing left the market looking much more respectable than it really was. Downward pressure from the Euro zone debt
After some disappointing returns in May, the stock market endured another difficult month. In June, the S&P 500 index recorded a second month of significant losses (-1.67%) and implied volatility (16.5%) rose again (1%). However, these hard times brought an end to the unsustainable growth of the stock market over the past year (+31.78%) and a radical drop in implied volatility (-10%).
The fixed-income market also faced difficulties. Although not performing as poorly as last month, convertible bonds (-1.03%) fell again and reverted to their level of January. After positive returns in April and May, regular bonds (-0.77%) returned to
Merger arbitrage emerged as the strategy most in demand with alternative UCITS investors, with 79 per cent of all respondents planning to increase or maintain their exposure in the coming quarter, according to ML Capital’s latest survey of the growing sector.


ML Capital surveyed a diverse range of active alternative UCITS investors, who collectively manage EUR50 billion and today invest upwards of EUR10 billion into Alternative UCITS products. Questions are aimed at discovering their forthcoming strategy allocations and are asked each quarter to the same respondents, in order to track asset flows between UCITS strategies.


The survey found that merger
AQR Capital Management has launched the AQR Multi-Strategy Alternative Fund (ASANX/ASAIX), the newest addition to its mutual fund family. The new no-load mutual fund began operations on July 18, 2011 with a USD20 million investment by AQR.
The fund’s investment objective is to seek long-term positive absolute return through a broadly diversified portfolio of alternative strategies that are traditionally made available through hedge funds.
The Multi-Strategy Alternative Fund targets low correlation to traditional asset classes and seeks to provide exposure to nine different types of alternative strategies: Convertible Arbitrage, Event Driven (including Merger Arbitrage), Fixed Income Relative Value, Equity Market
Dr Oliver Plein (pictured), Head of Product Specialists – Equities at DWS Investments, takes a look at how today’s environment impacts equities…
In 2011 the world economy will likely be driven by the timing and speed of monetary policy changes. In the US, the Fed is likely to remain on its current course well into the second half of 2011, whereas in the euro zone, the European Central Bank (ECB) is facing an increasingly difficult task as a one (monetary) size fits all approach does not appear to be appropriate for booming Germany as well as the stagnating countries of
A new wave of global regulatory reform, combined with the prospects for renewed growth in the investment management industry, will deliver a "one-two punch" for fund administrators in 2011, according to Confluence, a provider of automated data management solutions. Confluence believes that this will lead to transformation of the back office, with fund administrators investing in their IT infrastructure to keep up with increased demands.
The changes will impact the global fund industry—from already highly regulated mutual funds to hedge funds, which are positioned to be the new frontier for regulation and back-office transformation.
"Fund administrators will be faced
Pierre Bourlatchka has been appointed a Director at Kinetic Partners and will join the risk management consulting and monitoring team in London.
Bourlatchka joins Kinetic Partners from F&C Asset Management, where he worked for the Alternative Investment Market Risk team, focusing on all aspects of AI risk management and reporting. During his time at F&C Asset Management, he was involved in all aspects of risk across a large variety of asset classes. Prior to this, Bourlatchka worked within Risk Management and Quantitative Analysis at Deephaven Capital Management on the Volatility & Convertibles bonds, High Yield & Fixed Income and Credit
Frontier Investment Management (Frontier) has launched Euro and Swiss Franc share classes for its FrontEdge Global Hedge Fund in response to growing demand from Swiss and European family offices and institutions. The two new additions mean the fund now offers Sterling, US Dollar, Euro and Swiss Franc share classes.
FrontEdge Global Hedge Fund combines investments across over 50 single hedge fund managers, segmented across strategy, size and geographical focus with a significant allocation to a proprietary blend of synthetic replication strategies. The Fund, provides investors with an efficient means to access the returns of the global hedge fund industry while mitigating
NYSE Euronext has extended its range of indices into the commodity asset class with the launch of four single commodity indices based on its NYSE Liffe Milling Wheat Futures Contract and Cocoa Futures Contract respectively.
The new single commodity indices will measure the performance of a strategy which consists of investing in the most active delivery month of the relevant Futures Contract, measured by level of open interest. When the expiry date of this delivery month approaches, the investment is rolled into the next most active delivery month. The indices offer investors an easy way to track the NYSE Liffe
