- Advertisement -
- Advertisement -

Related

Nordic CTAs add to losses in second quarter as industry suffers

Industry Report

- Advertisement -

Stockholm (HedgeNordic) – Nordic CTAs continued to struggle during the second quarter 2017 as the NHX CTA Index lost another 4.1% during the period, bringing the year-to-date loss to -5.8%. This was largely in line with global industry benchmark as the SG CTA Index and the Barclay BTOP50 Index posted losses of 3.5% and 3.1% respectively.

The managed futures industry has been under pressure as of late and according to a recent Bloomberg article quantitative trend following strategies are on track for their worst performance in 30 years by some measures. Sector overcrowding, the suppression of notable price moves in either direction due to enduring central bank stimulus, and, relatedly, lows in cross-asset volatility, are mentioned as possible explanation to the recent weak performance.

As for the Nordic managers active in the CTA space, there was quite a significant return dispersion among the different strategies during the second quarter. Overall, performance was weakest for the ones relying on trend following strategies while fundamental and sector specialist strategies fared better.

The worst performing fund was Swedish industry giant Lynx who lost 12.2% during the period to bring year-to-date performance to -13.2% (see separate HedgeNordic article here). The funds from Swedish CTA multi-manager provider RPM also had a rough time with the RPM Evolving CTA Fund and the RPM Galaxy Fund dropping 8.9% and 7.3% respectively. On a positive note, Swedish IPM’s Systematic Macro Fund and Finnish MG Commodity Fund managed to end the quarter in positive territory.

The returns for Nordic CTAs during the second quarter and for the full year are summarized in table 1 below, table 2 reveals the same numbers but has had all funds adjusted to a similar annualized volatility of 11.7%, which is the average number for Nordic CTA managers. Rankings for the quarter and the full year are displayed in chart 1 and 2 (both risk-adjusted to make the comparison viable).

Looking at the longer term perspective, Nordic CTAs remain in line with global industry benchmarks since its inception in January 2005 (see chart 3 below).

Table 1. Performance overview Nordic CTAs Q2, 2017

*Volatility measured on a 24-month rolling basis. Source: HedgeNordic, SG Prime Services, Barclayhedge

 

Table 2. Performance overview Nordic CTAs Q2, 2017 (risk-adjusted)

***Volatility adjusted to 11.7% for all programs. Source: HedgeNordic, SG Prime Services, Barclayhedge

 

Chart 1. Performance rank, Nordic CTAs Q2, 2017 (risk adjusted)

Source: HedgeNordic, SG Prime Services, Barclayhedge

 

Chart 2. Performance rank, Nordic CTAs 2017 (risk adjusted)

Source: HedgeNordic, SG Prime Services, Barclayhedge

 

Chart 3. Nordic CTAs – long-term performance against benchmarks

Source: HedgeNordic, SG Prime Services, Barclayhedge

 

Picture (c): Vintage-Tone-shutterstock

 

 

 

 

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

April Market Volatility Tests Nordic Hedge Funds

Markets were unsettled in early April by the surprise announcement of steep U.S. tariffs, triggering an equity sell-off, rising U.S. bond yields, and a...

Renewables in Retreat? Not for Coeli Energy Opportunities

Coeli Energy Opportunities, a long/short equity fund focused on renewable energy, currently ranks as the second-best performing Nordic hedge fund year-to-date, delivering a return...

Alcur Fonder Hires SEB Small-Cap Analyst

Shortly after appointing stockbroker Per Flöstrand as fund manager earlier this year, Stockholm-based hedge fund boutique Alcur Fonder has further strengthened its portfolio management...

Ress Life Rotates Portfolio to Capitalize on Repricing

Discount rates in the U.S. life settlement market have increased in recent years, reflecting a shift in supply-demand dynamics. Higher interest rates have made...

Accendo Appoints Johanna Pynnä as Senior Advisor

Activist hedge fund Accendo Capital has expanded its advisory network with the appointment of Johanna Pynnä as Senior Advisor, Strategy. In her new role,...

Peter Andersland Stays Cautious, Adds Convexity

Fund manager Peter Andersland had maintained a bearish economic outlook in recent quarters, and the tariff-related uncertainty and market volatility triggered by U.S. President...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -
HedgeNordic
Privacy Overview

This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.