- Advertisement -

Related

CTA returns remain muted in first quarter, Nordic managers lag

Powering Hedge Funds

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

PIMCO: Similar Yields, Better Risk Profile in European High Yield

The U.S. high yield market has long been regarded as the global benchmark: deeper, more liquid, and broader in sector composition. For many allocators,...

Avoiding the Echo Chamber: Kraft’s Playbook in Tighter High-Yield Market

Delivering strong returns during a market rebound is one thing. Preserving performance momentum once spreads tighten and dispersion fades is another. That was the...

Tidan Deepens Volatility Arbitrage Expertise

Tidan Capital has strengthened its volatility and options arbitrage platform with the appointment of Laurent Keller as Senior Portfolio Manager. The Stockholm-based hedge fund...

Two Brothers, One Model, Ten Years: The Evolution of Othania

Exactly ten years ago, two brothers on the outskirts of Copenhagen set out to build their own asset management firm. Their idea was straightforward...

Rare Valuation Gap Between Small and Large Caps

Over the past five years, Swedish small caps have oscillated between a 10 percent premium and a 10 percent discount relative to large caps,...

Protean Eyes Sweet Spot Between Active and Passive in Global Equities

In the second half of 2026, Swedish stock-picking boutique Protean Funds plans to launch a Global Aktiesparfond, a low-cost, actively managed global equity fund...

Allocator Interviews

In-Depth: Diversification

- Advertisement -

Voices

Request for Proposal

- Advertisement -