- Advertisement -
- Advertisement -

CTA returns remain muted in first quarter, Nordic managers lag

- Advertisement -

Stockholm (HedgeNordic) – The Nordic CTA industry had another lacklustre quarter in Q1 2017, lagging the SG CTA and Trend indices but outperforming an even weaker showing for the Barclay BTOP50. When the dust settled by the end of March, the NHX CTA index had lost an estimated 1,4 percent during the quarter, to be compared to a net gain of 0,1 percent for the SG CTA Index and a net loss of 0.9 percent for the SG Trend Index. The Barclay BTOP50 ended the quarter down 1.8 percent.

Overall, CTAs started the year on a weak note with trends in currencies reversing (US dollar weakened) while also commodities markets detracting from performance. February offered a more positive environment where long positions in equity indices and long base metals positions contributed. In March, CTAs once again gave back profits from the previous month. A weakening US dollar on concerns for the US administration’s ability to carry through tax reforms and infrastructure investments have been mentioned as explanation to the weak numbers.

In terms of individual winners in the Nordic CTA space, IPM had a strong period with both the systematic macro (+4%) and systematic currency programs (+2.8%) advancing. The short-term CTA program “Presto” from Estlander and Partners also stood out with a gain of 5.7 percent.

Trend following overall had a weak quarter, with the biggest loser being the Alfa Axiom Fund, posting losses of 10.1 percent. The industry giants Lynx and SEB Asset Selection also struggled.

In the multi-manager space, the programs from RPM Risk & Portfolio Management, RPM Evolving and RPM Galaxy, showed disparate returns with Evolving losing 3.6 percent while Galaxy gained 2.2 percent.

Performance numbers for the Nordic CTA industry (2016 and Q1 2017) as well as for major industry benchmarks, are summarized below.

Picture (c): Montri-Nipitvittaya-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

Rhenman’s Healthcare Fund Transitions to Article 8 Classification

Stockholm (HedgeNordic) – Since its inception in mid-2009, the Rhenman healthcare fund has focused on investing in healthcare companies, which contribute to at least...

The ART of Finding Right Tails

Stockholm (HedgeNordic) – Philosopher Nassim Nicholas Taleb coined the term ‘Black Swan’ to describe the tendency to underestimate the likelihood of extreme, hard-to-predict events,...

Cevian Acquires Stake in Swiss Insurer

Stockholm (HedgeNordic) – Swedish activist investor Cevian Capital has unveiled a 3.12 percent stake in Swiss insurer Baloise Holding AG. The stake is valued...

Nordic Hedge Funds Sustain Momentum

Stockholm (HedgeNordic) – Following its strongest first quarter in 15 years, the Nordic hedge fund industry sustained momentum into April. As reflected by the...

The Hands-On Approach of NCI Advisory in Debt Investing

Stockholm (HedgeNordic) – With over 45 years of expertise in structured finance and debt asset management, Jørgen Beuchert has dedicated the last 15 years...

Hedge Fund Journal: Calculo Best in Commodity Trend Following

Stockholm (HedgeNordic) – Calculo Evolution Fund, a pure commodity trend-follower based in Denmark, has been recognized as the “Best Performing Commodity Trend Follower” over...

Allocator Interviews

Latest Articles

In-Depth: High Yield


Request for Proposal

- Advertisement -