Tuesday, January 31, 2023

September round-up: Macro volatility sparks more gains

September’s market volatility brought fresh gains for managed futures and macro managers, as sterling’s slide proved a notable winner.

The ten largest trend-following CTAs averaged a 6% gain in the month to 29 September, putting them up 35.9% for the year, according to Society Generale. CTAs across the board made 4.1% and 26.3% over the same time-frames.

Stockholm-based Lynx Asset Management made 9.2% in the month to 29 September in its trend-following flagship, putting it up 45.4% for the year.

As of 28 September, Paris-based Metori’s Epsilon Global Trends fund was up 8.1%, putting it up 20.7% year to date.

The bear market rally of late June and July reversed in August and global markets continued to sink in September, with the S&P 500 nearing a double-digit fall in the month.

That made the environment tricky to navigate for equity managers, with performance in long/short still highly dispersed. But risk appetite was increasing, with Goldman Sachs noting the biggest leap in gross exposures in five years during the month.

Price action in the last week of September was driven by the negative market response to new UK prime minister Liz Truss’s economic policies.

Balyasny Asset Management told clients the Bank of England risked losing control of sterling and inflation after the British government spooked markets with an expansionary package of tax cuts.

“Sentiment surrounding UK assets remains very shaky, to put it mildly,” said Mark Dowding, CIO of BlueBay Asset Management. “We would expect a permanent UK risk premium to persist for a long time after the current crisis subsides.”

Swiss macro manager EDL Capital and London-based Odey Asset Management were among the firms to profit from a falling pound, according to reports.