Cantab Capital Partners' main hedge fund gained 13.4 percent over January, instantly making it a top performer for 2015 and continuing a hot streak for so-called quant managers who use computer algorithms to invest.
The Cantab fund has hundreds of positions at once, but several economic events helped produce the largest gains, according to a private letter to clients obtained by CNBC.com.
The European Central Bank's announcement in January of a fresh economic stimulus program, for example, supported Cantab's long position in German bunds and a short on the euro. The Bank of Canada cutting interest rates also benefited a short position on the Canadian dollar and long Canadian government bond bets. Cantab also made money on commodities by shorting oil-related securities and base metals like copper.
Cantab remains generally long stocks, government bonds and the U.S. dollar, and short energy commodities, metals and the euro. Its strategy relies on trading futures contracts as a commodity trading advisor.
Cantab, based in Cambridge, England, manages $4.5 billion overall and $3.5 billion in the CCP Quantitative Fund. The big gain came in the Aristarchus share class, the most popular offering.
"Cantab's performance in January illustrates the value of maintaining a diversified portfolio that includes macro and CTA managers," said Sean Bill, investment program manager for the Santa Clara Valley Transportation Authority.
Bill, who was until recently a trustee for pensions of the city of San Jose, California, a Cantab client, said the firm and other CTAs should continue to perform well given differences in central bank policies and increased market turbulence.
"After several years of less-than-stellar returns, I believe that CTA managers are well-positioned to capture the volatility that has recently returned to the markets," Bill said.
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Cantab said the high return wasn't due to high risk.
"It is tempting to conclude from the month's exceptional return that the program was taking excess risk. In fact, the program realized volatility that was very close to its target of 20 percent annualized," the letter said.
Still, the Aristarchus fund has more volatility than some hedge funds.
It gained 39.3 percent in 2014, among the best performances in the hedge fund industry, but fell 27.6 percent in 2013, according to the Cantab letter. The annualized return since inception in March 2007 is 11.38 percent. That compares to 6.78 for the index. Annualized volatility for the fund was 17.52 percent versus 16.20 percent for the stock index.
The main quantitative fund wasn't the only one up big. The $918 million CCP Core Macro Fund gained 9.32 percent in January.
A Cantab spokesman declined to comment.
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Other CTAs have performed well so far in 2015.
The Newedge CTA Index posted returns of 4.41 percent for January, according to Societe Generale unit Newedge.
"The performance numbers ... show that the momentum generated in 2014 has continued into 2015–January was an excellent month for CTAs," James Skeggs, global head of advisory group at Societe Generale prime services, said in a recent statement.
"Our indices highlight that CTAs have been one of the best-performing hedge fund strategies over the last nine months and this has translated into a marked increased interest in managed futures from institutional investors."