Key Takeaways
- • Managed futures funds dominated September 2011 performance rankings across most asset size categories, with Becker Asset Management's BAM Program 1 delivering 25.24% monthly returns and ranking second among all hedge fund strategies.
- • BroadArch Capital's long/short equity fund outperformed all strategies with 27% September gains, though it holds only sub-$100 million in assets and posted 24.72% year-to-date returns.
- • The managed futures strategy exhibited extreme volatility in September; while top performers generated 25%+ returns, the AIS Futures Fund 3x-6x declined 43.98%, illustrating the sector's pronounced drawdown risk in current market conditions.
- • Global macro funds provided significant secondary performance opportunities, with Haidar Capital Management's Haidar Jupiter Fund achieving 15.5% in September and 31.15% year-to-date, the strongest macro fund performance recorded.
- • Among mid-sized funds ($100 million–$500 million), LJM Partners' managed futures fund led with 12.58% monthly returns, while NuWave Combined Futures Portfolio topped the sub-$1 billion category at 7.83%.
Summary
Managed futures emerged as September 2011's dominant hedge fund sector, claiming the top performance slots across most capitalization brackets despite delivering mixed year-to-date results. Becker Asset Management, a Texas-based firm managing sub-$100 million in assets, achieved the second-highest September returns among all hedge fund strategies, with its BAM Program 1 generating 25.24% for client portfolios and its proprietary B and A portfolios delivering 24.9% and 22.48% respectively. Only BroadArch Capital's long/short equity strategy surpassed these figures, posting 27% in September.
The sector's performance masked significant underlying volatility. While managed futures delivered exceptional gains across multiple fund sizes, the strategy simultaneously produced the month's worst performer: AIS Futures Fund 3x-6x declined 43.98%, underscoring the substantial drawdown exposure inherent to the strategy in contemporary volatile markets. BAM's strong September results only translated to modest year-to-date gains—ranging from 2.33% to 6.18% across its three portfolios—compared to BroadArch's 24.72% year-to-date return, indicating that single-month outperformance does not guarantee sustained annual performance.
Global macro funds, the alternative strategy with significant currency exposure, provided secondary high-performance opportunities. Haidar Capital Management's Haidar Jupiter Fund achieved 15.5% in September and 31.15% year-to-date, positioning it as the year's best-performing macro fund by a substantial margin. Performance variation continued across asset size tiers: LJM Partners' managed futures fund led the $100 million–$500 million category with 12.58% monthly returns, while Forum Asset Management's Global Opportunities Fund was the strongest macro performer in that tier at 4.65%. The sub-$1 billion ranking was dominated entirely by managed futures funds, with NuWave Combined Futures Portfolio generating 7.83%.
The sector's performance masked significant underlying volatility. While managed futures delivered exceptional gains across multiple fund sizes, the strategy simultaneously produced the month's worst performer: AIS Futures Fund 3x-6x declined 43.98%, underscoring the substantial drawdown exposure inherent to the strategy in contemporary volatile markets. BAM's strong September results only translated to modest year-to-date gains—ranging from 2.33% to 6.18% across its three portfolios—compared to BroadArch's 24.72% year-to-date return, indicating that single-month outperformance does not guarantee sustained annual performance.
Global macro funds, the alternative strategy with significant currency exposure, provided secondary high-performance opportunities. Haidar Capital Management's Haidar Jupiter Fund achieved 15.5% in September and 31.15% year-to-date, positioning it as the year's best-performing macro fund by a substantial margin. Performance variation continued across asset size tiers: LJM Partners' managed futures fund led the $100 million–$500 million category with 12.58% monthly returns, while Forum Asset Management's Global Opportunities Fund was the strongest macro performer in that tier at 4.65%. The sub-$1 billion ranking was dominated entirely by managed futures funds, with NuWave Combined Futures Portfolio generating 7.83%.
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