Gresham Investment Management is shutting its alternative commodities absolute return (ACAR) fund to new money after reaching full capacity, according to a person familiar with the matter.
The product launched in March 2017 with a seed investment of $50m from parent Nuveen and has grown over tenfold in the last four years, with assets under management now standing at around $550m, the person said. Since inception, the ACAR fund has had an annualised return of 14.46%.
ACAR is a trend following, medium-term CTA, and invests in more esoteric commodity markets such as sunflower seed, Chinese coke and kerosene futures. Gresham’s quant business is run by Scott Kerson.
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Hedge funds have endured a difficult start to the year. Renaissance Technologies, the quant fund founded by James Simons, suffered significant losses at two of its strategies in January. The rise of retail investing has also inflicted losses on some other well known hedge fund managers. Investors such as Melvin Capital, Steve Cohen’s Point72 and Citron Research were all caught on the wrong side of retail bets such as GameStop. While the SEC has promised to monitor volatility in stocks favoured by retail investors, this new phenomenon may only just be getting started.
CTA’s or commodity trading advisors, are quant funds that seek to identify and then follow trends in the market, screening for potential investments using factors such as momentum. They generally invest using exchange-traded futures and forwards.
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Gresham was founded by the Falconwood Corporation in 2005 and has been an innovator in the management of diversified commodity portfolios, it was involved in the development of the first Chinese commodity indices with Caixin Insight.
The firm manages over $5.4 billion in assets for a range of clients including pension funds, sovereign wealth funds and pooled investment vehicles.
Nuveen Investments bought a controlling interest in Gresham in 2011, and was subsequently acquired in 2014 by TIAA.
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