Follow the Trend
As for the New York City Police Pension Fund and the New York City Fire Pension Fund, which combined oversee about $50 billion, in truth they are no strangers to quantitative funds or even to trend-followers. According to New York City Police Pension Fund public documents, its quant allocations include D.E. Shaw & Co. along with Quest Partners LLC, whose main offering is a CTA.
Yet Florin, which manages $750 million and is backed by Swedish allocator Brummer & Partners, appears to be the only trend-follower focused on illiquid assets used by the New York funds.
This exotic breed of CTAs has been an increasingly popular choice given the crowded nature of standard products, Greenig said. Still, with returns picking up for all types of trend-following, CTAs across the board may see new inflows. Florin posted a 6.3 percent return in August, while Soc Gen’s CTA index posted 2.6 percent.
“The one part people still care about is the alternative or exotic market space, but the tone may be changing,” he said. “People like to see returns and then they start getting excited.”
This article was provided by Bloomberg News.