Tuesday, January 31, 2023

August round-up: Macro and CTA up again as volatility returns

Heightened volatility across asset classes and stock market declines in August brought an end to the summer rally, benefiting this year’s hedge fund winners: CTA and macro managers.

Bets on a stronger dollar and falling bond prices were particularly profitable for defensive strategies as market focus turned aggressively to inflation risk ahead of this week’s Jackson Hole meeting of central bankers.

The S&P 500 lost 4.2% last month, reversing the unexpected rally started in July, which had helped spark a partial recovery in long/short equity. August marked a return to the strategy’s losses in the first half of the year.

Trend-followers again outperformed. Societe Generale’s index of large trend funds was up 4.1% last month, putting it up 28.3% for the year, while its core CTA index made 3.3% and 21.4% over the same time periods.

New York-based Quest Partners made 2.1% in its $2.4bn flagship, mainly on fixed income and FX, putting it up 25.7% for the year.

Rotterdam-based Transtrend made 2.3% in its Diversified Trend Program, putting it up 21.6% for the year, while Stockholm-based Lynx made 2.4%, putting it up 33.1%.

All of Brummer & Partners underlying funds advanced last month except Manticore, a TMT-focused long/short equity fund, and AlphaCrest, a quant equity fund. CTA manager Florin Court led the way, up 4.4% in its main fund, putting it up 21.2% for the year.

Brevan Howard, Rokos Capital Management and EDL Capital all posted strong gains in their main discretionary macro funds, according to Bloomberg, while Haidar Capital is up more than 225% for the year to 26 August after a near 30% gain month-to-date.

“Hedge fund managers enjoyed positive returns in August, a volatile month in markets,” said Jens Foehrenbach, CIO of Man Group’s FRM hedge fund investing unit, in a note.

“Quantitative strategies posted strong results across the board, particularly in defensive strategies such as CTAs that came into the month positioned for further USD strength and higher bond yields, whilst fundamental credit and event strategies were generally positive.”

More performance data and indices will emerge in the coming days.