- Advertisement -

Related

Nordic CTA´s wrong-footed in October

- Advertisement -

Stockholm (HedgeNordic) – As previously reported, Nordic CTAs had a dificult month in October. Early indications showed a loss of as much as -3,7%. With all programs having reported their monthly returns, the sector managed to claw back some territory, yet with now a 100% conviction, the final number for the NHX CTA index still stands at -3.1% for the month and -2,8% for the year. NHX composite added 0,8% in October and is up by 3% year to date.

Trend followers were the hardest hit among the CTA strategieswith the high leverage version of Estlander’s Alpha Trend II Class P program being down as much as 18 % on the month. SEB Asset Selection also had a difficult month with the standard leverage program down 3.9% and the Opportunistic version down by 7.6%.

Among the better performing programs, short-term strategies such as Estlander Presto and Romanesco Persistence stood out. Both programs are still in the red for the year however.

Estlander & Partners Global Markets and Global Markets XL programs, who are down for the year with -5% and -9,6% respectively by their last recorded returns from August 30,  are no longer reporting NAVs.

In a comment to the month´s performance, Lynx writes: ”Several trend reversals caused a negative result for Lynx in October. The commodity sector was the largest negative contribution and losses were primarily attributed to short positions in gold and agriculturals.

In FX markets, the US dollar strengthened against a basket of larger currencies. As a consequence, Lynx suffered losses in the canadian dollar and the euro. Equity markets gained in the second half of the month contributing positively to the overall performance. By the end of the month, the Fed decided to keep rates unchanged, however, the price of bonds fell leading to losses.”

Chart: Nordic CTAs Return October 2015 (Source: HedgeNordic)

eree

Picture: (c) MR.LIGHTMAN1975—shutterstock.com

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Jonathan Furelid
Jonathan Furelid
Jonathan Furelid is editor and hedge fund analyst at HedgeNordic. Having a background allocating institutional portfolios of systematic strategies at CTA-specialist RPM Risk & Portfolio Management, Mr. Furelid’s focus areas include sytematic macro and CTAs. Jonathan can be reached at: jonathan@hedgenordic.com

Latest Articles

Elo’s Slow-Moving Hedge Fund Portfolio Built Around Access

Soon after Kari Vatanen joined Finnish pension insurer Elo as Head of Asset Allocation and Alternatives, he praised the team behind the firm’s hedge...

The New Coda: From Intuition to a Unified Investment Process

Peter Andersland is best known in the Nordic hedge fund space as the co-founder of Sector Asset Management, where he remains a shareholder. While...

When Diversification Fails: Qblue’s Case for Alternative Risk Premia

The notion that a traditional 60/40 portfolio offers meaningful diversification has long been questioned by practitioners. When implementing the Total Portfolio Approach at Danish...

Tidan NOVA Profiting from Volatility Skew as Market Participants Seek Protection

Tidan Capital’s evolution into a multi-strategy platform reflects a broader effort to deliver complementary sources of alpha, with its NOVA strategy serving as a...

Extracting Alpha from the Factor Zoo Through Systematic Investing

There are multiple ways to approach equity investing and, ultimately, the pursuit of alpha. While many strategies rely on market direction or discretionary stock...

Apoteket CIO Leans on Hedge Funds for High Sharpe

Gustav Karner, Chief Investment Officer of Apoteket’s Pension Fund since 2017, has delivered one of the highest Sharpe ratios among Sweden’s largest institutional investors,...

Allocator Interviews

In-Depth: Diversification

- Advertisement -

Voices

Request for Proposal

- Advertisement -