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Lux selectors: making the most of managed futures

Lux selectors: making the most of managed futures

Managed futures has proven a tough hunting ground for investors over the past year, with underperformance being a common concern for specialists in this sector.

Despite these difficulties, a number of asset managers are still seeing inflows into their quant-based offerings.

For example, over the past 12 months, the assets under management for Paris-based group KeyQuant have nearly doubled

The firm, which runs strategies such as the KeyLux Umbrella Key-Trend Ucits fund, said growing interest drawn from larger institutions and family offices, who are cognisant that equity markets cannot continue on an upward trajectory.

Nonetheless, fund selectors appear cautious over whether to up allocations to the sector. But, it’s not due to performance, according to Kredietrust Luxembourg’s Gabriel Catherin.

'We have few such funds on our recommendation list, but most of our clients aren’t really fond of these kinds of strategies,' he told Citywire Selector during a recent interview in Luxembourg.

'Most of our clients prefer to have a story, to understand why the portfolio manager is owning certain companies or investing in a specific market. They avoid managers who own a stock or a market just because the trend is good.'

Catherin (pictured below) currently focuses on fund research and multi-management at the Luxembourg bank. He said Kredietrust’s clients tend to prefer more fundamental analysis, rather than pure statistical investment disciplines.


‘For example, if you look at the US market recently, it is really driven by quantitative funds, including CTAs and managed futures, which could be good or bad depending on where you are in the cycle for fundamental strategies.

‘Here in Luxembourg or in Belgium, however, our clients still prefer to invest in fundamental strategies.’

Special situations

Elsewhere in Luxembourg, at ING Private Bank, advisory portfolio manager Thierry Carabin said the team still uses managed futures funds in specialised areas of the business.

'We don’t invest directly in or use managed futures in our discretionary portfolios or in our advisory model portfolios.

'Only some of our clients invest in the sector through our 'Hedge Funds Building Block', which is a selection of eight funds with some long/short equity funds and some other hedge funds.

'These are funds like the DB Platinum Systematic Alpha, Inris R CFM Diversified, MLIS Millburn Diversified and MLIS Marshall Wace funds, which uses futures and other derivates.

'In advisory and discretionary mandates, we use the BSF Fixed Income Strategy and/or the Goldman Strategic Income fund, which are absolute return bond funds using some futures for duration and/or currency bets but they’re not considered hedge funds,' he added.

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