Report reveals trend-busting disparity in investment strategies
.jpg)
Humans have outperformed their machine counterparts as diversity opens up among commodities trading advisors.
Even so, CTAs have faced a tough year due to volatile prices.
The first three quarters of 2017 brought losses for CTAs as shown by the Preqin All Stategies CTA benchmark (down 0.04%) while the firm’s Hedge Fund benchmark grew 8.04%.
“The first three quarters of 2017 have proven to be a difficult performance environment for CTAs. The euro, Brazilian real and US dollar have all seen significant movement following political events in these regions over the year.
These volatile conditions have resulted in fluctuations in monthly returns, with the Preqin All-Strategies CTA benchmark recording five months of gains and four months of losses in 2017 so far,” said Amy Bensted, Head of Hedge Fund Products.
Performance disparity grows, humans beat machines
The rough ride for CTAs is not equally split though with the trend-following majority (68% of CTAs) losing 1.62% year-to-date; while the 10% of active funds which are option writers gaining 7.63%.
The break from longer-term trends - in which returns from different strategies and methodologies more closely aligned – is also seen in the 1.02% losses for systematic CTAs compared to the 0.75% gain for discretionary funds.
Over the past five years that disparity in results between humans and machines has been closer although humans have still outperformed; annualized gains of 2.22% for systematics and 2.84% for discretionary.
There has also been a rise in discretionary launches in Q1-Q3 2017, representing 32% of launches compared to just 21% in 2016.
Investors remain confident in CTAs
Amy Bensted says that investors continue to flock to CTAs which, as an overall strategy has seen net inflow of U$14 billion in the first 9 months of 2017.
“The number of institutions active in the CTA market has also increased, even as the asset class as a whole has seen large proportions of investors say they are looking to reduce or eliminate their allocations. Despite shaky performance in 2017, investors still see CTAs as providing protection from potential market correction, and so continue to seek exposure to the strategy,” she added.
Even so, CTAs have faced a tough year due to volatile prices.
The first three quarters of 2017 brought losses for CTAs as shown by the Preqin All Stategies CTA benchmark (down 0.04%) while the firm’s Hedge Fund benchmark grew 8.04%.
“The first three quarters of 2017 have proven to be a difficult performance environment for CTAs. The euro, Brazilian real and US dollar have all seen significant movement following political events in these regions over the year.
These volatile conditions have resulted in fluctuations in monthly returns, with the Preqin All-Strategies CTA benchmark recording five months of gains and four months of losses in 2017 so far,” said Amy Bensted, Head of Hedge Fund Products.
Performance disparity grows, humans beat machines
The rough ride for CTAs is not equally split though with the trend-following majority (68% of CTAs) losing 1.62% year-to-date; while the 10% of active funds which are option writers gaining 7.63%.
The break from longer-term trends - in which returns from different strategies and methodologies more closely aligned – is also seen in the 1.02% losses for systematic CTAs compared to the 0.75% gain for discretionary funds.
Over the past five years that disparity in results between humans and machines has been closer although humans have still outperformed; annualized gains of 2.22% for systematics and 2.84% for discretionary.
There has also been a rise in discretionary launches in Q1-Q3 2017, representing 32% of launches compared to just 21% in 2016.
Investors remain confident in CTAs
Amy Bensted says that investors continue to flock to CTAs which, as an overall strategy has seen net inflow of U$14 billion in the first 9 months of 2017.
“The number of institutions active in the CTA market has also increased, even as the asset class as a whole has seen large proportions of investors say they are looking to reduce or eliminate their allocations. Despite shaky performance in 2017, investors still see CTAs as providing protection from potential market correction, and so continue to seek exposure to the strategy,” she added.
