Early indications suggest CTA performance has improved so far in February, after record losses in 2018 deepened during a poor January.
Several CTAs were in positive territory at this month’s midway point, including Florin Court, Lynx and Transtrend.
The SG Trend Index, which tracks returns among the ten largest trend-followers globally, lost 3.2% in January after a record 8.1% loss last year.
Lynx and Florin Court, backed by Stockholm-based Brummer & Partners, were up 2.3% and 0.6% respectively in the month to 15 February. Both lost almost 1% in January.
Rotterdam-based Transtrend’s Diversified Trend Program made 2.5% this month to 18 February, recouping part of its 4.9% January loss.
After the SG Trend Index’s worst year on record in 2018, January was its third-worst start to the year.
Lyxor Asset Management, meanwhile, sounded a subdued note on February performance.
“Month-to-date hedge fund performance, based on narrow daily indices, suggest an out-performance of long/short equity strategies and an under-performance of CTA strategies,” said the Parisian investor in a note.
“CTAs have dramatically increased their long fixed income positions over the last quarter and we are concerned about the impact a bond trend reversal might have on their performance going forward.”
Several big name CTA managers will be hoping for a reversal of fortunes in 2019. Aspect Capital posted a record loss of 14.6% in 2018 and followed it with a 0.8% loss in January.
CTA performance picks up in February on EuroHedge.