Key Takeaways
- • Abbey Capital Futures Strategy Fund won the Hedge Funds Review European Fund of Hedge Hedge Funds Awards 2015 for best managed futures/CTA fund of hedge funds, managing $280 million in assets as of the award date.
- • The fund delivered 22.82% returns from Q3 2014 to Q2 2015, driven by dollar strength positions, crude oil short bets, and fixed-income allocations during a favorable period for managed futures strategies.
- • Abbey Capital's portfolio comprises nine managers—three European and six US-based—including diversified trend-followers, foreign exchange specialists, discretionary macro, and systematic macro traders, avoiding the typical black-box perception through transparent trend-following approaches.
- • The fund employs managed accounts to reduce cost structure and eliminates performance fees at the CTA level, an uncommon practice among funds of hedge funds that improves fee efficiency.
- • CEO Tony Gannon argues systematic trend-following strategies are more transparent and verifiable than discretionary macro trading, rejecting characterizations of CTAs as impenetrable black-box managers.
Summary
Abbey Capital Futures Strategy Fund secured recognition as the best managed futures/CTA fund of hedge funds at the 2015 Hedge Funds Review European Fund of Hedge Funds Awards. The '40 Act liquid alternative fund of hedge funds, launched in July 2014, had accumulated $280 million in assets under management at the time of the award.
The fund's investment universe consists of nine managers split between European (three) and US-based (six) talent. The portfolio emphasizes diversified trend-followers as its core holding, supplemented by positions in foreign exchange management, discretionary macro, and systematic macro strategies. A distinctive operational feature is the fund's use of managed accounts to optimize its cost structure and the elimination of performance fees charged at the individual CTA level—an unusual approach within the fund of hedge funds space that typically layers multiple fee structures.
Performance during the relevant measurement period validated the strategy's construction. From Q3 2014 through Q2 2015, the fund returned 22.82%, capitalizing on a favorable environment for managed futures as an asset class. Key performance drivers included long positions in the US dollar relative to the euro, short exposure to crude oil, and fixed-income allocations held by the underlying managers.
Chief Executive Tony Gannon challenges the prevailing narrative that portrays systematic managed futures as opaque, algorithm-driven vehicles beyond investor comprehension. Drawing on three decades of industry experience, Gannon argues that systematic trend-followers operating on transparent, rule-based frameworks are fundamentally more understandable than discretionary macro managers, whose positioning can shift dramatically—exemplified by macro traders reversing major currency views between Wednesday and Friday based on opportunistic reasoning rather than systematic signals. This positioning reflects Abbey Capital's confidence in the measurability and consistency of trend-following approaches relative to discretionary alternatives.
The fund's investment universe consists of nine managers split between European (three) and US-based (six) talent. The portfolio emphasizes diversified trend-followers as its core holding, supplemented by positions in foreign exchange management, discretionary macro, and systematic macro strategies. A distinctive operational feature is the fund's use of managed accounts to optimize its cost structure and the elimination of performance fees charged at the individual CTA level—an unusual approach within the fund of hedge funds space that typically layers multiple fee structures.
Performance during the relevant measurement period validated the strategy's construction. From Q3 2014 through Q2 2015, the fund returned 22.82%, capitalizing on a favorable environment for managed futures as an asset class. Key performance drivers included long positions in the US dollar relative to the euro, short exposure to crude oil, and fixed-income allocations held by the underlying managers.
Chief Executive Tony Gannon challenges the prevailing narrative that portrays systematic managed futures as opaque, algorithm-driven vehicles beyond investor comprehension. Drawing on three decades of industry experience, Gannon argues that systematic trend-followers operating on transparent, rule-based frameworks are fundamentally more understandable than discretionary macro managers, whose positioning can shift dramatically—exemplified by macro traders reversing major currency views between Wednesday and Friday based on opportunistic reasoning rather than systematic signals. This positioning reflects Abbey Capital's confidence in the measurability and consistency of trend-following approaches relative to discretionary alternatives.
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