The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookiesbefore using this site. Please see our Subscription Terms and Conditions.

All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.

CTA currency funds have bumper July, Macro funds more mixed

CTA funds were among the strongest performers in the hedge fund market in July, taking returns for the year back into the black, according to data published by Eurohedge.

With more than 75% of dollar-based CTAs having now reported their July returns, the median return stands at 3.96% for the month, which brings the returns of managed futures accounts back into the black – to about 2% – for the year.

Only three dollar-denominated CTA funds that have reported so far made negative returns in the month; all euro-denominated funds reported positive returns.

The strongest performer for the month was Mulvaney Global Markets, which returned 11.38% in July, yet is still down 9% year-to-date. CCP Quantitative (run by Cambridge, UK-based Cantab Capital Partners), returned 9% for the month, giving it a year-to-date return of 17%.

CCP Quantitative portfolio is diversified across three main trading sub-strategies: momentum, value and short term. The program itself is implemented through over 120 liquid futures and forward contracts.

According to Ewan Kirk, chief investment officer, CEO and partner at Cantab, returns across the CTA sector were probably drive by long positions across the agricultural and fixed income asset classes rather than currencies. The ECB cut its benchmark interest rate in early July.

“I would have expected most CTAs, if not all, to be long the euribor contract, while long gilts, bunds and treasuries would also be a natural position to have now,” Kirk told EuromoneyFXNews.

In terms of currencies Kirk said most CTAs and macro funds will probably still be structurally short euros, and while there were a few relief rallies during July, those positions have probably not changed across the CTA space, he said.

“Most CTAs and macro guys will be short the euro, it’s the natural systematic trade and its pretty much the natural discretionary trade as well.”

Several other players made monthly returns of over 5% – including Solaise, Brummer & Partners Lynx, BlueTrend, QCM Global Diversified, Cyril Systematic, Altis Global Futures, Cardwell Investment Technologies and Estlander & Partners Global Partners, while Winton, Quantica, Transtrend, ISAM Systematic and IKOS Futures all posted returns north of 4% on the month, Eurohedge said.

In the macro fund sector, results were more mixed, said Eurohedge. Harmonic Alpha Plus Global Currency gained 5.5% in July, giving it an impressive year-to-date-return of 25%. Meanwhile, Brevan Howard’s $25 billion-plus fund clawed back losses, returning 2.29% in July to leave it down 1.4% year-to-date.

Mike Platt’s BlueCrest Capital International flagship returned 1.46% in July and is now up by some 3.8% for the year.

According to Hedge Fund Research, data macro hedge funds returned 1.87% in July, the best month this year, bringing the macro index annual return into the black, yielding an annual return of 1.08%.

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree