September is likely to be another negative month for Hedge Funds, the rare positive exception is CTAs. While only a handful of managers in that strategy group have reported, we have additional evidence from our Daily CTA Index that ended up at 2.1% for September. The second exception is Risk Premia, with what is presumed to be a healthy dose of trend following exposure ending up flat for the month. While the results are good for CTAs, we also note that CTA has had flattish returns over the last 4-5 months (with some notable managers doing really well).
Equity L/S suffered in line with the downdraft in global equity markets and is down around 3% for September. Not great, not terrible. Other strategies generally suffered less and are down between 1 and 2% for September.
While we do not yet have all managers in the database, based on our Dispersion measures, we note that most strategies have a 75%+ probability of having lost money in September. The usual exceptions are CTA, Market Neutral, and Risk Premia strategies, where you have realistic odds of having made money in September.
Based on statistical analysis, CTAs are likely to have generated money from long USD positions, and short bond positions. Equities, and Energy positions are relatively light.
Below are the top 10 largest managers (by aum) that have reported numbers. The managers with positive returns YTD are trend following strategies.
| Manager | Program | September | August | YTD |
|---|---|---|---|---|
| Man AHL | AHL TargetRisk Fund | -4% | -4% | -18% |
| DWS | Concept Kaldemorgen | -2% | 0% | -4% |
| Graham Capital Mgmt LP | Tactical Trend | 3% | 4% | 37% |
| Carmignac | Patrimoine | -1% | 0% | -12% |
| Trojan | Fund | -2% | 0% | -4% |
| Nordea Asset Management | Nordea 1 Alpha 10 MA Fund | -2% | -2% | -8% |
| Millburn Ridgefield Corporation | Diversified Program | 7% | 4% | 18% |
| Nordea Asset Management | Nordea 1 Alpha 15 MA Fund | -4% | -3% | -12% |
| Systematica Investments | BlueTrend Fund | 7% | 5% | 38% |
| Ruffer | Total Return | 0% | 1% | 1% |
| Newton | Real Return | -4% | 0% | -11% |
Explore additional return estimates via our NilssonReport, where you can easily dive into sub-strategies and explore additional managers and strategies.
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