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Managed futures best performing hedge fund sector in September

In a brutally volatile September, which saw many hedge funds lose money and most of the remainder only just manage to keep their heads above water, managed futures outdid other hedge fund strategies in delivering returns for investors.

Although not all performance results are in, it is notable that the top performing funds of all capitalisation buckets in the Absolute Return monthly performance database were managed futures funds, except in the sub-$100 million space, where it provided the second placed fund. The Texas-based hedge fund Becker Asset Management, through its BAM Program 1, brought in 25.24% in its client portfolio, and 24.9% and 22.48% respectively for its proprietary B and A portfolios, making it the second best-performing hedge fund from any strategy of any capitalisation in September.

Only the BroadArch Capital, via its long/short equity fund, made more money for its investors, with 27%.

However, in a reminder of just how much of a rollercoaster ride the strategy can be in today’s markets, managed futures has also provided the month’s worst performer, the AIS Futures Fund 3x-6x, which is down -43.98% for the month.

Even BAM’s three funds have only delivered 6.18%, 5.7% and 2.33%, year-to-date. BroadArch is up 24.72% over that period.

Global macro funds, the other strategy with the biggest currency component driving returns, also provided a number of high performers for the month. Haidar Capital Management’s Haidar Jupiter Fund – like BAM and BroadArch, a fund with less than $100 million in assets – was September’s top performing global macro hedge fund.

It notched up returns of 15.5%, giving it a year-to-date return of 31.15% – comfortably the best performing macro fund of the year so far.

Among funds in the $100 million to $500 million tranche, LJM Partners’ managed futures fund topped the table with 12.58%, with Forum Asset Management’s Global Opportunities Fund, the best placed macro fund with 4.65%.

The top four funds in the sub-$1 billion table were all managed futures funds, with NuWave Combined Futures Portfolio the best of the bunch, with a 7.83% return. GAM’s GAMut Investments macro fund came in fifth with 2.65%.

Managed futures also took top spot for funds with more than $1 billion, with Quantitative Investment Management’s Quantitative Global Fund 3x generating 13.49% for the month. With a return of 4.36%, the macro fund MKP Capital Management Opportunity came in second place.

Around 50% of macro funds have reported to Absolute Return + Alpha, and around 75% of managed futures funds.

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