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FUND PERFORMANCE
Managed futures strategies slumped to their worst month of the year in September, with trend-following hedge funds caught out by sharp reversals in momentum across several markets and asset classes.
CTAs, which aim to profit from various trends across equities, commodities, currencies and fixed income through futures and derivatives trading, were hit by the sudden retreat from record stock market highs and US dollar weakness last month, Société Générale said on Tuesday.
Following a mixed first half of the year, the sector had started to gather pace over the summer, with July proving their best month so far. But September’s
NEWS
The hedge fund industry has welcomed a decision by the European Union to remove the Cayman Islands – a major offshore domicile for the global hedge fund industry – from a tax haven blacklist.
The Alternative Investment Management Association, the hedge fund industry’s global trade body, said the move was “good news” for the international alternative asset management community.
In February, the Economic and Financial Affairs Council (ECOFIN) – which comprises the 27 EU member states’ finance and economics ministers – agreed to add Cayman to an EU list of ‘non-cooperative’ tax jurisdictions.
The decision was made despite Cayman being
SHORT-SELLING
Hedge fund short sellers have rebounded with a GBP418 million (USD542.6 million) gain from negative bets against FTSE 100-listed companies – just a month after losing almost the same amount from wayward shorts in UK blue-chip stocks.
PODCAST
In this podcast produced by Hedgeweek, in association with SEI, we examine how AI is shaping the future of the asset management industry on the back of SEI’s recent white paper, Watsonisation 2.0: The Exponential Pull of Innovation.
FUND PERFORMANCE
The Lyxor Epsilon Global Trend Fund, Metori Capital’s long-running systematic managed futures strategy, remains well up in 2020, comfortably outperforming CTA benchmarks as trend-following hedge funds were caught out by reversals across across FX, commodities and equities in recent weeks.
Epsilon Global Trend has gained 7.7 per cent over the nine-month period since the start of January, despite sliding 0.63 per cent in September. Its volatility level remains under 8 per cent. By comparison, the SG Trend Index, which measures the net daily rate of return for a pool of trend following hedge funds, slumped more than 2.5 per cent
FUND PERFORMANCE
Brummer & Partners’ multi-strategy hedge fund flagship was on track for a marginal September rise, the Swedish hedge fund pioneer said on Friday morning, as strong gains in equities-focused funds were offset by faltering trend-following strategies – but the BMS vehicle remains comfortably in the black year-to-date.
The long-running Brummer Multi-Strategy (BMS) fund – which invests in a range of single-strategy hedge funds – was set for a 0.2 per cent gain in September, bringing its year-to-date return to 4.4 per cent. Meanwhile, the Brummer Multi-Strategy 2xL twice-levered version notched up an estimated 0.4 per cent rise in September, to bring
INNOVATION
In 2016, SEI issued a paper on what it saw as five major innovations that were causing disruptions both within and outside of their respective industries. The company has revisited those themes, namely: Watsonisation, Googlisation, Amazonisation, Uberisation and Twitterisation, to provide an up-to-date picture of the innovations occurring in our industry today. Over the next few months SEI will share its findings and recent developments for each theme. First up: Watsonisation…
BONDS
FTSE Russell’s decision to include Chinese sovereign bonds in its flagship government bond index could offer hedge fund investors fresh alpha-generating and AUM-raising opportunities amid a wave of overseas capital inflows into the market.
FTSE Russell said last month it intends to include Chinese sovereign bonds into its flagship World Government Bond Index from next year.
The inclusion – which follows similar moves by Bloomberg Barclays and JP Morgan Chase, the other two main index compilers – tees up a range of investment opportunities for several hedge fund strategy types, industry observers said.
Man Group, the London-listed global hedge fund
RESEARCH
The rate of new hedge fund launches grew between April and June following the coronavirus-fuelled first quarter slump, as hedge fund performance recovered – but the number of new roll-outs over the past 12 months remains “historically low”, Hedge Fund Research says.
New hedge fund launches totalled an estimated 129 in the second quarter. That number was a sharp increase on Q1 which proved the highest quarterly launch total since 153 funds were rolled out in Q2 2019, according to HFR’s latest Market Microstructure Report.
But the number of estimated fund launches during the preceding four quarters reached just 404
US ELECTION
Multi-strategy hedge fund Algebris’ macro chief eyes Biden victory in US election battle
US ELECTION
Multi-strategy hedge fund Algebris’ macro chief eyes Biden victory in US election battle