Managed futures inflows reach $30bn this year

CTAs continue to win allocations as performance dips

Managed futures took in $0.2bn in assets in October to bring net inflows this year to $30bn despite performance losses, according to latest Eurekahedge estimates.

CTA/managed futures funds saw the net inflows even though they recorded performance-based losses of $2.4bn, a monthly update from the Singapore-based data firm showed.

On a year-to-date basis, CTA/managed futures funds have grown their asset base by 16.8% to $238bn, with net investor inflows of $29.8bn, the second highest inflow of any hedge fund strategy. Last year investors withdrew $16bn from the sector.

Long/short equity mandated hedge funds recorded the highest net inflow in October of $2.3bn, bringing their YTD inflow to $31.5bn, slightly ahead of CTAs.

Rival data provider eVestment estimated that managed futures took in $1.5bn in October to bring inflows this year to $15.6bn.

The firm’s head of research Peter Laurelli wrote in a note that the continued allocations to managed futures funds, along with the redemptions from credit strategies, may be driven by repositioning of FoHF portfolios.

“FoHFs had gone through a process of cutting managed futures fund exposure – cutting by more than half from 2012 to the beginning of 2015 – as the group had been a source of underperformance following the European sovereign crisis.

“Even a moderate increase in portfolio exposure from FoHFs would be a large driver of 2015’s inflows.”

The performance-driven loss in October for CTAs was the highest across all hedge fund strategies as markets swung into positive territory.

The Eurekahedge CTA/Managed Futures Index fell into negative territory in the month, losing 1.0%.

North American CTA/managed futures hedge funds were down 0.5% while European peers gained 0.4%.

Funds with short positions in stock indices futures realised losses during the month as equities rallied, “much to the detriment of a majority of trend-following CTA/managed futures funds,” Eurekahedge reported.

Elsewhere, oil prices briefly rallied on the news of falling stockpiles resulting in a mid-month losses for funds shorting oil futures.

A rally in the Australian dollar also led to losses for funds shorting the Aussie while the signal of further easing by the ECB led to a drop in the euro against the dollar.

“On the whole, the October market swing affected the performance of a majority of trend-following CTAs – some of which ended the month in negative territory, while some funds managed to eke out a positive gain during the month, as the decline in commodity prices particular energy resumed after a brief reversal,” Eurekahedge noted.


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