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Performance review: focus on managed futures’ biggest players

Citywire Investment Research runs the rule over the sector heavyweights.

Making waves in managed futures

The attraction of managed futures, or CTAs (Commodity Trading Advisors) as they are better known, stems from taking advantage of periods of investor anxiety about the markets. Managed futures can offer attractive returns in bull and bear scenarios, as well as reducing risk by providing diversification.

In the Ucits world there are only a few players in this specialist sector, with just 28 managers boasting a three-year track record in the Alternative Ucits – Managed Futures sector.

Over the past year, the managed futures market, as measured by the Barclay CTA Index, has struggled with negative returns of -7.74%, while, over the past six months to the end of August, it has fallen 10.74%.

In this gallery, Citywire Investment Research takes a look at the three biggest players in the sector in terms of market share and assess how performance stacks up, as well as how they have managed the markets over the past year.

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Tim Wong & Matthew Sargaison, Man AHL

Tim Wong and Matthew Sargaison manage the third largest fund in the Alternative Ucits – Managed Futures sector, which is the Man AHL Trend Alternative fund with a markets share of 7.6%. Performance over the past year has produced positive results for investors with the Man AHL Trend Alternative DNY H EUR Acc share class of the fund returning 7.5% in euro terms, while the Barclay CTA index fell 7.7%.

Positive performance for Wong and Sargaison has continued in the longer term, and for the three-year period to the end of August the fund returned 16.14% against a 14.6% rise by the Barclay CTA Index. Since its launch in July 2009, the best year for performance was in 2014, which was one of only two years the fund saw a positive discrete year performance with a 31.4% return, the other being in 2010 with gains of 11.5%.

At the end of July, the strongest performance in the fund came from currency trading where the predominant theme was shorting the US dollar exposure. The best returns within this area came from Brazilian real and Australian dollars against the US dollar.

Other positive pairings came from a long position in euros versus the Swiss franc, on the back of talks of the ECB unwinding QE. However the largest losing position was a short position in the Japanese yen and a long position in South African rand against the US dollar.

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Brian Hurst/Yao Hua Ooi/Ari Levine, AQR

Brian Hurst, Yao Hua Ooi and Ari Levine of AQR Funds manage the second largest fund in the Alternative Ucits – Managed Futures sector, the AQR Managed Futures Strategy fund. They command a market share of 11.5%. Over the past year they lost 6.03% on the AQR Managed Futures UCITS B Acc EUR share class of the fund against a 7.7% loss by the Barclay CTA Index.

Hurst, Ooi and Levine utilise more than 100 contracts across four asset classes: equities, fixed income, commodities and currencies. Within the equity portion of their portfolio, in terms of percentage of risk allocation, they have long positions on E-Mini Nasdaq 100 Index futures (2.2%), Japan Topix Index futures (1.5%) and MSCI Taiwan Index future (1.4%).

Within fixed income, they have a long position on UK 10-year gilt futures and a short position on Japan 10-year bond futures. Their top active cross-currency position is euro vs sterling at 3.7%. They are short commodities, namely WTI crude oil futures, Brent crude future and mini natural gas futures.

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Hans-Olov Bornemann, SEB

SEB’s Hans-Olov Bornemann manages the largest fund in the Alternative Ucits – Managed Futures sector. The SEB 1 Asset Selection fund has a market share of 23.9% and is the only fund in the sector that have over a €1 billion of assets under management aggregated across all share classes of the fund.

The longest running EUR share class of the fund is the SEB 1 Asset Selection C (EUR) which lost 0.28% over the past year, this is against the Barclays CTA index return of -7.7%, in euro terms. Over the three-year period to the end of August, performance on the fund improves with returns of 10.3%. However this is below the returns of the Barclay CTA index returns of 14.6%.

Bornemann’s three largest positions within the fund in terms of the share of the total at the end of July were Euribor Future 3M December 2017 (110.3), Canada 3M Bank Accept Future (-92.1) and UK Short Sterling Future 3M December 2017 (89.4). The realised volatility since inception has been 9.4%, which can be compared to their volatility target of 10.0%. Bornemann has made positive returns for the discrete year periods of 2013, 2014, 2016 and 2017 so far.

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Related Fund Managers

Tim Wong
Tim Wong
6/25 in Alternative UCITS - Managed Futures (Performance over 3 years) Average Total Return: 15.69%
Matthew Sargaison
Matthew Sargaison
7/25 in Alternative UCITS - Managed Futures (Performance over 3 years) Average Total Return: 15.69%
Hans-Olov Bornemann
Hans-Olov Bornemann
11/25 in Alternative UCITS - Managed Futures (Performance over 3 years) Average Total Return: 11.73%
Brian Hurst
Brian Hurst
38/46 in Alternative UCITS - Managed Futures (Performance over 1 year) Average Total Return: -6.03%
Yao Hua Ooi
Yao Hua Ooi
39/46 in Alternative UCITS - Managed Futures (Performance over 1 year) Average Total Return: -6.03%
Ari Levine
Ari Levine
40/46 in Alternative UCITS - Managed Futures (Performance over 1 year) Average Total Return: -6.03%
Events
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