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July 01, 2002 at 08:00 PM
NEW YORK (HedgeWorld.com)–Managed futures strategies reigned in May on the CSFB/ Tremont Hedge Fund Index, gaining a solid 3.5% on the month while the wider benchmark picked up a more modest 0.7%.
“As a long-term trend follower, we were able to pick up on directional movements across a diversified number of markets,” said Richard Whited, president of Santa Barbara, Calif.-based Quicksilver Trading, which runs US$43 million in its futures-focused Quickpool LP and parallel managed accounts.
“It seemed that you had some nice movements in the South African rand and New Zealand dollar, but really it was a good months in a number of commodities, financials and forex markets–just some very good steady-state month that was excellent for CTAs,” he said.
A winning month of May was welcomed by managed futures traders, which as a group have been struggling against slumping returns in 2002. And although the May rally was a welcome change, managed futures trading advisers as a component of the CSFB/Tremont Hedge Fund Index remained down on the year through the month at negative 2.7%.
Meanwhile, the wider CSFB/Tremont Index’s 0.7% gain in May pushed year-to-date returns to 2.2% for the alternative benchmark. By way of comparison, the Dow Jones industrial average was down nearly 1% on the year, losing 0.2% in May. Over the same period, the Standard & Poor’s 500 stock index gave up about 7.1%, after losing about 0.9% for the month.
Another standout component of the alternative benchmark was fixed-income arbitrage, which gained 1.4% in May, leaving returns up a hearty 5.4% on the year.
“For fixed income, there’s a lot of caution going ahead because you have to be aware of the likelihood of the Fed raising interest rates,” said Gary Singleterry, president of Summit, N.J.-based Singleterry & Co.
“We’re not fixed-income arbitrage as much as we are value and mortgaged backs and in this area at least there is some concern about pre-pay risk. That being said, I think fixed income (alternative investing) is going to continue to attract attention from investors because there is a real desire for investments that are less correlated to the general markets,” he said.
