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Roy Niederhoffer B. G., Opalesque Geneva: Following the collapse of four banks and the ensuing financial market turbulence, efforts to support the financial system helped stocks recover slightly this week. As of March 23, the S&P 500 went up by nearly one percentage point in the last five days.
But CTAs have been particularly hard hit by the recent sharp changes. That especially concerns trend followers, who profit from trends in markets based on the assumption that price trends tend to endure. One of the biggest risks of that strategy is being caught out when an asset that previously gave a positive trending signal unexpectedly reverses.
According to analysis from UBS the previous week, trend investment managers such as Systematica, DB Platinum Advisors and Dunn Capital Management had funds that were down 10%, 7.8% and 4.6%, said Reuters. Macro funds did not fare well either. British macro hedge fund manager Crispin Odey's main fund posted returns of -4.7% in February and is down 3% so far this year.
R.G. Niederhoffer Capital Management, a 30-year-old New York-based quantitative trading advisor, has not shown any signs of distress.
The Macro Diversified Program, the firm's enhanced flagship fund re-launched in December 2022, is +13% MTD according to an investor communication obtained by Opalesque. "Quants are reeling this week as the bank crisis triggers the biggest hit since Covid. Our programs aim to differentiate themselves from trend-following CTAs and certainly succeeded in doing that. We have a long history of exceptional performance in volatile periods like this and are posting strong returns once again," the manager said in the document.
As of March 23, the SG CTA index was down 6.4% MTD, and the SG Short Term Traders Index down 1.95%. The SG Macro Trading Index was up 0.25% YTD at the end of February.
R.G. Niederhoffer Capital's original flagship fund, RGN Diversified Program, was launched in July 1993. It runs a systematic, short-term trading and contrarian strategy and uses more than 30 years of research into how cognitive biases affect financial markets. It annualised 8% from inception to the end of 2022 (with an annualised volatility of 19.7%) - compared to the SG CTA index's 4.7%.
According to Barron's, the fund profited last year from making short-term trades across the energy and currency markets. Its machine-learning model spotted a small number of opportunities when the sterling dropped earlier in the year and bought in during the market frenzy.
The firm had $916m in total AuM in January.
Roy Niederhoffer, the firm's founder, was recently on a roadshow in Zurich and Geneva to update investors on the work he and his team have been doing on the flagship program. The enhanced program continues to apply its historical downside protection but has stronger protection against upside volatility, inflation and currency debasement. As inflation was looming, the rooms full of allocators listened carefully.
Furthermore, Roy Niederhoffer spoke to 450 people at a recent Opalesque webinar where he laid out in detail why inflation should be one of the top concerns of investors as it is going to severely erode real returns.
The replay can be accessed here: www.opalesque.com/webinar/#pw46
Related articles:
28.Oct.2022 Opalesque Exclusive: Niederhoffer, as usual, maintains strong performance in tough period
13.Jan.2021 Opalesque Exclusive: Niederhoffer eyes new risks in 2021 - "There's no vaccine for a debased currency"
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