Morning Brief: CTAs Suffer Worst Monthly Loss in 20 Years

Managed futures funds suffered their biggest monthly loss in 20 years in February, according to data tracker eVestment. The strategy that proved itself as an uncorrelated investment option following the financial crisis ten years ago lost, on average, 7.03 percent last month. As a result, it is off by nearly 3 percent for the first two months of the year, according to the hedge fund data collector.

Needless to say, managed futures generated the biggest loss among all hedge fund strategies last month. Overall, hedge funds lost 2.01 percent last month, according to eVestment’s calculations. As we earlier reported, this was the first monthly loss in 16 months for the hedge fund industry. “After the industry was its most broadly positive in four years to start 2018, in February it was its mostly broadly negative in over two years, since January 2016,” eVestment stated in its latest monthly report. “Not since 2011 have the industry’s aggregate returns varied so much from one month to the next.”

The Barclay CTA Index lost 2.89 percent in February and just 0.33 percent for the year. However, 77 percent of CTAs incurred losses in February, according to data tracker BarclayHedge. Its Diversified Traders Index fell 4.49 percent in February, Systematic Traders declined 3.67 percent, and Financials/Metals Traders dropped 1.90 percent.

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Starboard Value responded to Mellanox Technologies’ March 7 announcement that it plans to hold an extraordinary general meeting of shareholders to vote on the implementation of plurality voting and the use of a universal proxy card in contested elections. In its letter, the activist hedge fund firm headed by Jeffrey Smith accused the semiconductor company of using the EGM to delay the date of its annual meeting. It also said neither of the proposals is problematic, stressing that it will support both changes. On March 7, Starboard filed a preliminary proxy formally nominating nine individuals to the board of directors of the Israel-based company, including Starboard managing members Jeffrey Smith and Peter Feld.

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Shares of Qualcomm fell about 5 percent, to $59.70, after President Trump nixed Singapore-based Broadcom’s hostile acquisition offer for the semiconductor giant. At the end of 2017, at least 14 hedge funds counted Qualcomm’s shares among their ten largest holdings, according to Goldman Sachs. They included Taconic Capital Advisors, Ivory Investment Management, and York Capital Management Global Advisors, according to regulatory filings.