June, 2023
The month of June rounded off a quarter which saw another financial crisis averted, which continued to be bullish for risk assets, but stubbornly high inflation meant more weakness in fixed income markets. Central banks took a more hawkish tone; the European Central Bank hiked rates by 25bp after a similar hike in May, and although the US Federal Reserve paused in June, expectations of future rate hikes increased. The Fund generated a positive return with gains led by fixed income, currency, equity and credit trading, offset by losses in commodities. Fixed income trading turned in the best performance over the month, with shorts continuing to benefit as many central banks seek to counteract stubbornly high inflation. Front-end positions benefitted most, notably SONIA and SOFR rates. Further out in the curve, US Treasuries out to the 10-year point performed best, but Canadian swaps chipped in when the country’s central bank unexpectedly raised its interest rate to the highest level in over two decades. There were offsetting losses trading South African interest-rate swaps. Currency trading maintained its recent strong run. High yields in Mexico have attracted inflows, resulting in demand for the Peso and gains for the Fund’s long position against the US dollar. A short in the Chinese Renminbi against the greenback, on the other hand, produced gains as the currency fell to a seven-month low on economic concerns. Losses were incurred in trades on the Australian Dollar, for example.
Trading in risk assets was also beneficial, most clearly in a short VIX position which benefited from stabilizing markets. Credit spreads tightened alongside this declining volatility, resulting in small gains for the Fund’s long credit positions. Gains also originated from longs in Taiwan’s equity indices, weighted towards chip-manufacturers, which continue to benefit from the rise in interest of Generative AI. Losses were incurred in trading the Hang Seng and H-Shares Index. Commodities trading dipped into the red, with energies the principal culprit as carbon emissions continued their recent range-bound theme and US natural gas rebounded off its post-Ukraine lows. Metals and agricultural trading also experienced difficulties, with copper and soybean prices in particular suffering significant reversals. Gains were accrued from a cocoa long, on the other hand, as prices rose to a 7-year high after El Nino weather interrupted growing in West Africa, where the commodity is largely grown.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_30-06-2023.pdfMay, 2023
Markets responded to a potpourri of news in May. US debt-ceiling concerns rolled around again and were, once more, rolled down the road. Despite this, the US economy appeared resilient, prompting increased expectations of further rate hikes from the US Federal Reserve. Across the Atlantic, economic news was not so rosy. Growing interest in artificial intelligence generated a surge in the share price of processor manufacturer Nvidia and technology stocks more broadly. The Fund generated a positive return net of fees for the month.
FX trading turned in the strongest performance over the month, most notably long USD crosses as markets perceived possibly more rate rises from the Fed. The Chinese renminbi and Norwegian krone were the main beneficiaries in this regard while a trade in the Euro against the greenback lost out as the position flipped from long to short.
Within commodities, all three sub-components were beneficial. Prices across the soy complex fell on news of record production forecasts, benefitting the Fund’s short, while a long sugar position lost out as prices fell in May after reaching an eleven-year high. Energies notched up a gain in aggregate, benefitting from a US natural gas short. Within metals, long precious positions detracted as the US dollar rallied.
Trading in fixed income also produced a gain, most notably from a short UK Gilts position which benefitted from an unexpectedly high inflation print, leading to predictions of more interest-rate hikes from the Bank of England. European bonds, on the other hand, rallied sharply on more downbeat economic data, leading to losses from a short Italian government bond position.
Equities trading nudged into the red, with the main culprit being a position in US software and services stocks, which reversed direction as the month progressed.
Long positions in Taiwanese indices, on the other hand, outperformed when the CEO of market darling Nvidia announced his confidence in the country for the manufacture of its chips. Credit trading was flat.
There have been no material changes to AHL's risk profile and investment strategy since the last monthly report. There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_31-05-2023.pdfApril, 2023
April saw some welcome calm return to financial markets; significant given March’s concerns that the SVB crisis might migrate into a second Global Financial Crisis. In Japan, new central bank governor Ueda revealed he was happy with current monetary policy, which sent the Japanese yen into a tailspin versus a number of currencies. The OPEC+ group of oil producers surprised markets early in the month by announcing cuts, which initially sent prices of oil higher, but these mostly reversed by month end. The Fund generated a positive return, net of fees, with positive contributions from FX, stocks, and commodities offset by losses in fixed income.
Short Japanese Yen positions against the Euro and British Pound produced gains as new BoJ governor Ueda dashed hopes that the bank might embark on a more “normal” policy during his tenure. Losses were seen in mixed positioning of, for example, the Colombian Peso and Swiss Franc against the US Dollar.
Gains were accrued in equities trading as the Fund gradually re-built its long positions as concerns around SVB and broader implications stabilized. The VIX volatility index fell to its lowest level since November 2021 leading to gains from the Fund’s short position. Long positions in MSCI Taiwan and US semi-conductor manufacturers generated losses. Credit trading was flat.
Trading in commodities was mixed. Agriculturals, and a long position in sugar in particular, was the standout, rising to an eleven-year high on supply concerns in Asia and Europe. Volatile oil prices in the wake of the OPEC+ production cuts announcement were detrimental to the Fund’s positions. Trading in metals was flat, with gains generated from a short zinc position, while a long in copper detracted. Small, and varied positions in bonds detracted slightly over the month as the asset class has yet to find a new direction post SVB.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_27-04-2023.pdfMarch, 2023
Evidence of the consequences of rapid rises in interest rates became apparent in March, first with the collapse of Silicon Valley Bank, and then contagion to Credit Suisse in Europe. There was a significant flight-to-quality effect in markets - riskassets fell, but gold prices rose, safe-haven currencies rose, and short-term government bonds saw their largest gains in decades. These were counter to dominant market trends and hence did not suit the positioning of the Fund which returned -5.72% net of fees. Losses were driven by fixed income, equities, and credit positions. A decline of 61bp on 13th March for US 2-year Treasury yields was the largest in over 40 years, was against the prevailing price trend, and was detrimental to a short in the instrument and indeed all other tenors of US treasuries traded by the Fund. Canadian bonds and swaps also generated losses in fixed income trading, and only one market, Brazilian swaps, generated a small gain. A long position in European financial equities suffered as concerns emerged over Credit Suisse and, later, Deutsche Bank, but losses were also seen from long positions in European insurers and US banks. A short position in European real estate companies generated a small offsetting gain. Risk-on positions in CDS indices also were hurt in the flight-to-safety, with European and US investment grade companies most clearly in the crosshairs. Commodities trading was relatively unscathed by the crisis in financial markets. A silver position generated a loss as it flipped from short to long as precious metals benefitted from a flight-toquality effect. Prices of EUA carbon emissions, on the other hand, fell along with risk assets, generating losses for the Fund’s long position. Sugar trading was profitable, however, as prices hit a 10-year high, driven by declining crop yields resulting from poor weather and a ban on pesticides. Currency trading was mixed, dipping into the red overall. Short positions in safe-haven currencies such as the Swiss franc and Japanese yen generated losses in the flight-to-quality episode.
Winning trades exhibited less of a clear pattern; a long Chilean peso against the US dollar generated a modest gain. There have been no material changes to AHL's risk profile and investment strategy since the last monthly report. There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_31-03-2023.pdfFebruary, 2023
Federal Reserve Chairman Powell’s comment at the start of February that “the disinflationary process has started” was in contrast to price action on the month. A strong US jobs report prompted fears of more persistent inflation than was anticipated, leading to falls in equity and bond markets, and a rise in the US dollar. The Fund generated a positive return, net of fees, with positive attributions from fixed income and FX, and losses from metals.
Expectations that the Fed might have more scope to raise rates led to a broad sell-off in fixed income instruments, particularly at the short end of the curve. This benefitted the aggregate short positioning in the Fund, but the greatest beneficiaries were US instruments at the 3m, 2y, and 5-year points. A long position in South African swaps, on the other hand, generated a loss.
Trading in currencies generated a positive return on the month. The Fund generated gains from long USD currency crosses as the greenback rose on greater expectations of further rate rises from the Fed. Top performers were Israeli Shekel and Swiss Franc. Short dollar positions against the Chilean peso and Euro, on the other hand, lost out.
Returns from equities dipped slightly into the red, led by long positions in the Australian SPI 200 and MSCI Emerging Markets indices. Cash equities trading fared better, particularly in Europe with a long banks position. Trading in credit fared similarly, with losses in US CDS indices overcoming smaller gains in European indices.
Losses in commodities were driven by metals, most notably longs in precious metals, and particularly gold which turned tail, losing 5% in February after three successive winning months. Losses from generally short positions in the oil complex led to an overall negative return in energies. Gains were generated in agricultural trading, however, led by a short in wheat whose price fell for the fifth straight month on news of changes in Russian and Ukrainian supply, as well as improved forecasts for the US crop.
There have been no material changes to AHL's risk profile and investment strategy since the last monthly report. There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_28-02-2023.pdfJanuary, 2023
Risk assets received a New Year boost from two areas; first, a re-opening of China’s economy and second, a continuation of the decline in the cost of energy which eased market concerns of a recession. Prospects of further aggressive rate hikes from central banks diminished, sending fixed income yields lower, and the US dollar continued its decline. The Fund generated a positive return with gains from equity, credit, commodity and FX positions offset by losses in fixed income.
The rally in risk assets provided a tailwind to the Fund’s net long equities position. Top performer was a long in European banks as the sector rallied 15%. A rallying Nasdaq, on the other hand, rising 11% on the month after a -33% return in 2022, did not suit the Fund’s short index future position nor the shorts in US software and services companies in general. Credit spreads also narrowed over the month, benefitting short CDS positions in US investment-grade and European higheryielding indices. The US-dollar continued to fall from its peak in November 2022, and this trend was best picked up through long positions in commodity currencies, most notably the Mexican and Chilean pesos. A short position in the Israeli Shekel against the greenback, on the other hand, generated a loss. Gains in commodity trading originated mostly from energy and metals, but with quite different narratives. China’s re-awakening was beneficial for long copper and iron ore positions, while gold’s price was supported by a weaker US dollar and expectations that central banks might continue to buy gold to support their ‘dedollarization’. Warm January weather prompted falls in the price of natural gas on both sides of the Atlantic, and profits for the Fund. A short position in coffee and a long position in carbon emissions generated losses. Fixed income prices rallied in January on expectations that central banks may ease their rate-hiking plans.
Several of the Fund’s short positions, such as Italian and Australian government bond futures, flipped to long, incurring losses in the process. Small offsetting gains were generated from a short in Japanese swaps as the market continued to respond to the Bank of Japan’s decision to double the effective yield cap last month. There have been no material changes to AHL's risk profile and investment strategy since the last monthly report. There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_31-01-2023.pdfDecember, 2022
Despite rate rises in line with expectations, both the Fed’s “dot plot” and comments from ECB’s President Lagarde sent a hawkish message to markets which responded in their by-now-familiar 2022 fashion: stocks down, bonds down. There was mixed news from China as relaxed COVID restrictions were swiftly followed by a sharp rise in cases of the virus. The Fund was flat for the month with positive returns from commodities and fixed income offsetting losses from credit and equities.
News of China’s relaxation of its strict COVID rules alongside a fall in the US dollar propelled metals prices higher, most notably gold and silver. Prices across the soy complex also rose as demand from a re-opening of China, the world’s largest buyer, was coupled with dry conditions in supplier countries in South America.
The Fund saw profits in soymeal and soybeans as a result, but losses from soyoil. ECB President Lagarde’s comment, “Anybody who thinks this is a pivot from the ECB is wrong”, dashed the hopes of dovish bond investors, sending yields of European bonds higher and resulted in profits for short positions in German bonds in particular.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_29-12-2022.pdfNovember, 2022
November’s market moves were concentrated around the US CPI print early in the month, with both headline and the core component coming in lower than expected. Investors interpreted this as opening the door to a more dovish turn from central banks; risk assets rallied, while bond yields and the US dollar fell, which was counter to trends that had been prevalent for most of the year. Elsewhere, there were rumours of China easing off its zero Covid stance, and cryptocurrencies took a blow on news of the bankruptcy of crypto exchange FTX. The Fund returned negative returns with losses from FX, commodities and fixed income while small offsetting gains were made in credit trading.
FX trading was the greatest detractor. These losses were most apparent in Asian currency crosses, most notably the South Korean won and Chinese Renminbi. A long position in the Mexican Peso against the greenback was the biggest gainer on the month.
Within the commodities complex, trading in metals and energies generated losses while agriculturals was flat. Short positions in gold and silver were caught offguard by the low CPI print. Positioning in energy markets was mixed over the month with the largest detractor being US natural gas. Within agriculturals returns were mixed with small gains coming from short wheat and long soybeans positions. The prospect of fewer rate rises to combat inflation sent fixed income yields lower, generating losses for the Fund’s dominantly short positions. Worst offenders were Canadian swaps and long-dated US Treasuries. Trading in equities was flat. Asian indices rebounded particularly strongly with the news of China moving away from its zero Covid policy, and the Hang Seng’s 27% rise hurt the Fund’s small short position. On the positive side, gains were made from a long in the Euro-STOXX and short in the VIX volatility index.
Trading in credit proved a welcome bright spot for the asset class after a difficult year. Positions were broadly short CDS when the CPI news emerged, and hence gains were generated as risk assets rallied. Top performers were in US investment grade and European crossover indices. There were no meaningful detractors. There have been no material changes to AHL's risk profile and investment strategy since the last monthly report. There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_30-11-2022.pdfOctober, 2022
October turned out to be a positive one for risk assets as, like July, investors speculated that central banks may pivot from their hawkish stance. This happened despite stronger-than-expected inflation readings in both the US and Europe. Turmoil in UK markets after last month’s “mini-budget” eased as a new government took the helm and reversed many of the initial proposals. European gas market prices fell while oil prices rose as OPEC and partners agreed deeper cuts to output than markets expected. The Fund posted negative returns, losses in commodities and credit offset by gains from fixed income and currencies.
Commodities trading finished October with losses from all three sub-sectors. Trading in oil dipped into the red amidst mixed positioning as the price of the complex broadly rose. Carbon emissions prices were also volatile, resulting in losses, and short positions in silver also lost out on rangebound prices. Small gains were made from positions in iron ore and UK natural gas. Short positioning in credit at the start of the month transitioned to long as risk assets rallied, resulting in losses across most indices traded by the Fund. More mixed positioning in equities, however, resulted in an overall flat return: gains from shorts in Chinese indices and Hang Seng were offset by losses from shorts in the Korean Kospi and Russell 2000.
Trading in fixed income instruments tipped into the black overall with no real direction to markets.US yields generally rose, leading to profits from short positions across the Treasury curve. Shorts in Italian government bonds, on the other hand, generated a loss, as did shorts in UK gilts which were impacted by volatility surrounding the regime change in the UK government. Within short-term rates, patterns were similar, with US shorts generating a profit while UK sterling shorts lost out.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_31-10-2022.pdfSeptember, 2022
Markets continued their post-Jackson Hole bearishness theme into September, with significant falls in risk assets and bonds as expectations of more interest-rate rises from central banks translated into reality. The US Federal Reserve, for example, hiked by 75bp for the third meeting in a row and indicated it would keep on this path. Fears that such hikes from the Fed and other central banks might cause a recession were compounded when economic bellwether Fedex warned on its outlook. The Fund returned positively net of fees with gains from fixed income, currency, and equities, and a loss from commodities.
Continued weakness in fixed income suited the Fund’s short positioning across the maturity spectrum, with gains in interest rates - SOFR and SONIA - and US Treasury bond futures contracts across the curve. One of the top performing bond futures positions was a short in 10-year Gilts which benefitted from the chaos in UK financial markets after the new government announced swathing tax cuts without an explanation of how these might be funded. Losses were incurred from a long Japanese 10-year bond position.
As the US dollar went from strength to strength, a number of short positions against the greenback were beneficial, most notably in the South Korean won and the Euro. Losses were incurred from a long in the Brazilian real, however, as the currency retreated from gains in July and August.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_30-09-2022.pdfAugust, 2022
July’s positive market sentiment extended into the first half of August but evaporated quickly after central bankers on both sides of the Atlantic issued hawkish messages. US Federal Reserve (“Fed”) Chair Powell reiterated his determination to quell inflation at the annual central bankers’ conference in Jackson Hole. The Fund returned positively net of fees with gains driven by fixed income, FX, and commodities, and losses from equities.
Fixed income trading was beneficial, particularly from short positions at the short end of interest-rate curves which were impacted most by the utterings of the central bankers. Short positions also contributed positively at the 10-year points in UK and Italian government bonds. A loss was incurred from mixed positioning in Brazilian IRS.
The Fed’s continuation along its hawkish path was good news for the US dollar, which rose against a basket of currencies of trading partners of the US. Some of the top performers were shorts in the South Korean won and Swiss franc. Losses were dominated by pairs involving short Euro, notably against the British pound whose woes were compounded by political instability.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_31-08-2022.pdfJuly, 2022
After the worst first half in more than 50 years, July saw equities rallying in response to expectations that slowing economic conditions could potentially mean a return to accommodative policies by central banks. The Fund returned down net of fees with losses across almost all asset classes, but notably in fixed income and equities.
Despite the rate rises from the Fed and ECB, fixed income markets rallied in July, much to the detriment of the Fund’s short positioning. Some of the worst offenders were Canadian swaps and German bonds, and US Treasury bonds, where losses were generated across all five tenors traded. No positions materially made gains. The reversal in the fortunes of risk assets also generated losses for the Fund.
Shorts in Korea’s Kospi and the S&P500 lost out. A short in the VIX was profitable as the “fear gauge” shed 7 percentage points and a long in US semiconductor stocks profited as the NASDAQ index rose almost 13%. Credit trading saw fewer bright spots, with losses from long CDS positions in US investment-grade and high-yield indices.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Man_AHL_Alpha_AUD_-_Class_A_Monthly_Report_-_Retail_Audience_English_26-07-2022.pdfJune, 2022
The behaviour of financial markets was demarcated mid-month by the first 75bp rate hike by the Federal Reserve since 1994, and an extraordinary meeting of the European Central Bank designed to shore-up a potentially fragmenting union. Recessionary fears were brought to the fore, risk assets fell, benchmark bond prices fell, and the US dollar rose. The Fund’s performance was similarly bifurcated, giving up mid-month gains to finish with a positive return. Gains in fixed income and credit were partially offset by losses in commodities and equities.
Despite the reversal mid-month, trading in fixed income finished in the black. Short-term rates contracts generated a positive return, as did Canadian bonds and swaps. A long position in 10-year Japanese government bonds detracted despite the Bank of Japan pledging to maintain yields at low levels.
Shorts in credit performed positively as risk assets sold off throughout the month, notably in European investment-grade and high-yielding names. Trading in equities dipped into the black, however, as energy stocks sold off in response to falling oil prices and recessionary concerns. A short position in the Korean kospi, on the other hand, was beneficial.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/189331130.pdfMay, 2022
The Fund finished the month down with losses in FX, equities, metals, and agriculturals offsetting small gains from energies and fixed income. Despite the market narrative progressing from inflation to growth, energy security was a continued theme in May. Long energies positions continued to perform positively, most notably in US natural gas and the crude oil complex. On the other hand, metals prices were volatile as global growth prospects, and hence demand, became more of a concern. This was negative for base metals such as aluminium and zinc, although was more mixed for precious positions, with a short in silver being profitable.
The steady yield increases seen in fixed income markets year-to-date took a hiatus in May, and returns from the asset class were muted as a result. One of the top performers was a short position in Italian 10-year bonds which benefitted as headline consumer price inflation in the Euro area hit an expectation-busting 8.1%. A short position in Canadian swaps, on the other hand, lost out despite the country’s inflation rate hitting a three-decade high.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/188100690-1.pdfApril, 2022
Divergent interest-rate expectations were a key theme in markets in April. In the US the mood seemed increasingly hawkish with Federal Reserve Open Market Committee official Bullard openly discussing potential 75bp rises to tame inflation at 8.5%, while the ECB is expected to raise rates in H2 2022. In contrast, the People’s Bank of China maintained rates and the Bank of Japan continued asset purchases in an attempt to keep rates low. These effects rippled through markets, affecting multiple asset classes. The Fund returned positively, dominated by fixed income, FX, and energies with only metals detracting.
The increasingly hawkish stance of the Fed and ECB caused continued pressure on bonds, which played to the hand of the Fund’s dominant short positions. Some of the top performers were in Italian 10-year government bonds, although short positions across the US curve were also positive. The Fund’s short position in Chinese swaps, finished flat and was one of the worst performers in the asset class.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187152887.pdfJanuary, 2022
The US Federal Reserve turned markedly more hawkish in January as it weighed up rising inflation and a milder-than-expected impact of the Omicron Covid-19 variant.This in turn sent both bonds and stocks lower with an accompanying rotation from growth into value. Energies rose as concerns intensified over Russia’s intentions at the Ukrainian border.The Fund returned down on the month with gains from long energies and short bonds broadly offset by losses from long credit and equity positions. The Fund entered the new year with net long positions in equities and credit, which struggled against a bearish market backdrop. The rotation from growth to value compounded losses for long positions in US healthcare and European capital goods sectors although gains were seen in short US pharma names.Losses were also incurred from long credit positions, most notably in US 5y investment-grade and European high-yield indices.
Currency trading was mixed, finishing in the red.The US dollar rose in a broadly risk-off environment.This hurt long positions against the greenback such as UK sterling and the Canadian dollar as the position flipped from short to long as the month progressed. A long in the Brazilian real generated the biggest gain, while a short in the Korean won also fared well.
A hawkish Fed took its toll on fixed income markets with benchmark US 10-year Treasuries rising around 30bp and yields generally rose at all maturities.This was beneficial for the Fund’s short positioning across the curve, with top performers being in the US, from overnight rates out to 10y. Long positions in Japanese 10- year bonds and receiver swaps on South African interest rates struggled against the backdrop and generated losses.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/184234689.pdfDecember, 2021
The Fund finished the month up with gains in equities and commodities overcoming losses in bonds and currencies.December saw equities shrug off their November Omicron woes with the S&P500, for example, hitting an all-time high.Top performers were longs in Taiwanese equities, alongside US healthcare and European capital goods sectors.Korean Kospi futures attributed negatively as the position flipped from short to long as the month progressed. Long credit positions also gained, most notably European and US high yield indices. Long commodity positions also generated gains in aggregate in December. Four French nuclear power stations were taken offline after failing safety checks, sending the price of European energy higher and generating gains for the Fund.The price of corn also rose on continued high demand from the ethanol and fertilizer industries. A short silver position was loss-generating as the price of the precious metal remained rangebound. Bond yields only modestly rose, despite the high consumer price inflation data. Long positions in German bonds fared worst, although a short position in Italian 10-year bonds also generated losses as the position flipped from long to short.A payer position in Czech interest-rate swaps generated a small offsetting gain as the country’s central bank raised rates for a fifth straight month in a bid to tame inflation. Risk-on markets were generally detrimental for the Fund’s broadly short currency positions against the US dollar. Worst performer was the Mexican peso which rallied as Mexico’s IPC equity index hit new highs, while a short Japanese yen, also against the greenback, generated a small offsetting gain.
There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report. With effect not earlier than 28 February 2022, through its investment into the AHL Alpha Program, the Fund may gain exposure in cryptocurrencies and other similar digital assets issued and/or traded using distributed ledger or blockchain technology, including, but not limited to Bitcoin and Ether. The AHL Alpha Program may gain exposure indirectly, for example, through investments in exchange-traded and OTC-traded securities which are linked to an underlying cryptocurrency or purchase cryptocurrencies directly
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/182652447.pdfNovember, 2021
Market nerves were modest in early November, with concerns mainly focused on central bank responses to more persistent inflation. That was before Omicron appeared, the new and heavily mutated coronavirus variant. Its discovery saw risk assets sell off sharply, reversing the main market trends of recent months. In the wake of these reversals, the Fund finished the month down net of fees, with losses across all asset classes, most notably in bonds and energies.
The prospect of new travel restrictions in response to Omicron and hence lower demand for fuel sent crude oil prices lower by 12% on Friday 26th alone. This was detrimental to all the Fund’s long positions across the crude complex. Losses were experienced in metals, particularly through a long gold position whose price was highly volatile over the month. A gain was made from a long coffee position. Commodity currencies such as the Canadian and Australian dollar sold off along with the commodity complex itself. There was a flight towards safe-haven currencies such as the Swiss franc and Japanese yen. The worst performing currency pair was long Canadian dollar versus US dollar, while a short Mexican peso position, also against the greenback, generated a gain.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/181790022.pdfSeptember, 2021
Whether it was the prospect of earlier tapering of US quantitative easing, the highest German inflation in almost three decades, the potential default of the world’s most indebted real estate developer in China, or supply chain disruption characterised by queues for fuel in the UK, there was plenty to worry markets in September. Broadly, this did not suit the Fund’s dominantly risk-on positioning and resulted in negative returns, with losses in equities, fixed income, and FX overcoming gains in energies.
The macro-economic environment had its greatest impact on the Fund’s generally risk-on positioning in equities, and the effect was compounded by sector rotation away from recent winners. Worst performers were longs in European capital goods and US healthcare stocks, while small gains were made in the Japanese index Topix, as well as shorts in US pharma names. Losses were also seen in the Fund’s long credit positions, most notably in the US.
Government bond yields rose for the second month running. The “dot plots” may have given an indication of the timing of future rises in the US, but elsewhere - Czech Republic for example - actual rises in interest rates came in ahead of market expectations. Long positions in Italian bonds caused the greatest losses,
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/180246511.pdfJuly, 2021
Global equity indices entered the second half of 2021 touching all-time highs, propelled by better-than-expected earnings, albeit with a few coronavirus-related bumps along the way. Bond markets did not take this as a cue to sell-off, however, even as higher consumer price inflation data in the US defied longerterm forecasts from the Fed. Natural gas prices continued their upward trajectory on tight supply and increasing demand. The Fund posted positive returns with gains in fixed income and commodities outweighing losses in FX.
Dominant long fixed income positions were top performers for the Fund and clear beneficiaries of the continued recovery in government bond yields. Italian, German, and French 10-year bonds topped the list for the asset class while small losses were incurred from positions in Korean bonds and swaps as coronavirus cases spiked.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/178334906.pdfMay, 2021
Inflationary fears were once again stoked by the release of April’s US consumer price inflation number, which came in at 4.2% YoY, significantly higher than estimates and the biggest rise since 2008. This spurred commodity prices higher on the month, while, following some initial volatility, equities finished the month in positive territory and bonds yields held firm.
Hospitalisations from Covid19 continued to fall in most developed economies, as vaccination programmes held the upper hand against emerging new variants, helping overall market optimism. With gains in commodities and FX only marginally offset by losses in stocks and bonds, the Fund had a positive month.
Currencies provided good opportunities for the Fund in May. Rising risk appetite in markets led to stronger EM FX rates in general, with the primary beneficiary in the Fund being the South African rand. Confidence in the British pound continued as Brexit recedes further into the rear-view mirror and the vaccination success story continues, leading to gains against the US dollar. Losses were incurred from short positions in the Chilean peso and New Zealand dollar against the greenback
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/173462734.pdfMarch, 2021
March proved a positive month for risk assets as US President Biden signed his $1.9trn stimulus package into law. It was a more mixed period for bonds, however, with contrasting news flow either side of the Atlantic. The European Central Bank increased its bond buying under the terms of the Pandemic Emergency Purchase Program, while chair of the Federal Reserve, Jerome Powell, indicated he was prepared for the US economy to overshoot inflation and employment targets, fuelling the continued rise in US treasury yields. The Fund posted positive returns over the month, with gains in equities, FX, and credit outweighing losses in commodities.
Rallying equity markets, propelled by the governments and central banks, were beneficial to the Fund’s dominant long equity positions. The value factor made a comeback too, benefitting European indices relative to US ones. This is reflected in the performance on the month, with Sweden’s OM index topping the list and longs in US pharma and software and services trailing. A short VIX volatility position also gained as volatility fell, as were long credit positions particularly in Europe
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/170621184.pdfNovember, 2020
With the first successful COVID19 vaccine announcements and a Democratic Presidential victory in the US election, the world looked utterly different in November to previous months of the year, and risk assets reacted with exuberance. Three vaccine manufacturers reported better-than-expected clinical trials which propelled global equities up around 13%, the best month in over 40 years. With gains in FX, equities and commodities outweighing losses from fixed income, the fund posted positive returns.
The vaccine news proved positive for equity markets in general, and indeed the fund’s dominantly long positions in indices proved positive, particularly Asian indices such as the Nikkei and Korean Kospi. However, there was significant rotation within industry baskets, with the ‘lockdown losers’ such as energies and banks, of which the fund is predominantly short, seeing the largest price reversals and so contributing to some offsetting losses.
This effect played out at the country level as well, with Covid-19 affected European indices such as the French CAC 40, also a short position for the fund, rallying 20%. Rallying risk assets were coupled with a falling US dollar, however, which played to the hand of the Fund’s long positions in emerging market FX, most notably the Mexican peso and South African rand. Losses came from long euro positioning against the Polish zloty.
Performance within the commodity complex was mixed. Long positions in base metals such as copper benefited from the risk rally, which drove a 12% price rise, while losses were felt on long positions in precious metals as gold and silver fell. Short oil positions caused pain as both Brent and WTI crude oil prices rose more than 15%. Soybeans, on the other hand, continued their four-month price rally on reduced supply and increasing demand, leading to gains. With the worst of the Covid-19 concerns apparently receding on the vaccine news, investors’ requirements for a safety net were diminished and, like gold and silver, the price of bonds broadly fell.
This impacted the Fund greatest in German and UK bonds, whilst countries which had been particularly adversely affected by the pandemic, such as Italy, were positive as yields compressed. There have been no material changes to AHL's risk profile and investment strategy since the last monthly report. There have also been no changes to the individuals who play a key role in the investment decisions of AHL since the last monthly report.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/163566749.pdfticker: MAN0002AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://www.man.com/documents?categories[]=FactSheets&years[]=latest&years[]=2022
Man AHL Alpha (AUD) – Class A
asset_class: Alternatives
asset_category: Managed Futures - Trend
peer_benchmark: Alternatives - Trend Index
broad_market_index: SC CTA Trend Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
The investment objective of the Fund is to generate medium to long term returns by identifying and taking advantage of upward and downward price trends through trading in futures, options, forward contracts, contracts for difference, equities, debt, swaps and other derivatives, both on and off exchange using the AHL Alpha Program. The Fund aims to generate medium to long term returns primarily by identifying and taking advantage of upward and downward price trends through trading in futures, options, forward contracts, contracts for difference, swaps and other derivative instruments, both on and off exchange, using the AHL Alpha Program. Amounts not required for trading using the AHL Alpha Program are held in a Cash Deposit.