Institutional investors active in CTA funds have more than doubled since 2008
There are now 713 global institutional investors with an active CTA portfolio, a significant increase on 2011 when the number stood at 504, and 2008 when just 331 had CTA funds in their holdings.
Preqin has conducted analysis of the CTA industry using its Hedge Fund Investor Profiles database and newly launched Hedge Fund Analyst product.
Forty two per cent of funds of funds invest in CTAs. Public pension funds also show a strong appetite for CTA vehicles, with 25 per cent having a preference for such funds.
A total of 1,298 funds pursue a managed futures theme, with 62 per cent managed from North America, 32 per cent from Europe and six per cent from Asia and rest of world.
The largest number of CTA launches was noted in 2011. A total of165 managed futures programmes tracked by Preqin were launched last year. Spikes in CTA launches tend to follow years of positive performance for the industry, with large increases witnessed in 2004 (after producing returns of 27.19 per cent in 2003) and 2009 (after posting returns of 19.11 per cent in 2008).
CTAs have returned 2.00 per cent YTD and 0.35 per cent annualized over the last 12 months compared to 6.32 per cent and 8.02 per cent respectively for the wider hedge fund industry.
Despite muted performance over the past couple of years, CTAs have proven themselves strong performers over longer time frames (posting returns of 8.98 per cent annualised over five years compared to 6.35 per cent returned annually by hedge funds over the same time frame).
CTA returns also exhibit neutral or negative correlation to equity market returns, as monitored by the S&P 500, and have proven to be good sources of “crisis alpha” in periods where both hedge funds and the wider equity markets are performing negatively.
“CTA/managed futures have often been regarded as an ‘all-weather’ investment choice, with historical performance characteristics that make the strategy highly relevant during periods of relatively low returns and generally rising asset class correlations,” says Amy Bensted, head of hedge fund products at Preqin. “Year on year, more investors are adding CTAs to their portfolios of alternative asset funds in order to tap into this diversified liquid source of alpha. Correspondingly, more managed futures vehicles are being launched in order to cater to the growing interest in the strategy. Despite recent disappointing performance by CTA vehicles, investor interest in the strategy continues unabated with 14 per cent of fund searches initiated in October 2012 including a managed future mandate.”
- Special Reports