- Advertisement -
- Advertisement -

RPM’s Fruitful Bet on Evolving CTAs

- Advertisement -

Stockholm (HedgeNordic) – Nordic CTAs recorded their best summer ever this year, and RPM Evolving CTA Fund was among the most successful during this period. RPM Evolving CTA Fund, which invests in a select group of young CTAs in the most dynamic and competitive phase of their life-cycle, gained 19.2 percent during the three summer months and was up 12.5 percent year-to-date through September 10.

RPM Evolving CTA Fund was up 9.6 percent in August alone, with the fund’s strong returns stemming from profits in the fixed-income, metals and soft commodities markets. “The trends were apparently driven by increasing fear of a global recession and an escalation in the US-China trade war,” Johanne Schou Vassbotn (pictured), investor relations representative at Stockholm-based RPM Risk & Portfolio Management, tells HedgeNordic.

“CTAs tend to make money when there are price trends in the markets,” says Vassbotn, who further adds that “these price trends, usually referred to as the Time Series Momentum (TSMOM) risk factor, explain close to 60 percent of CTA performance.” The RPM team measures TSMOM through a proprietary Market Divergence Index (MDI), which rose to almost twice the long-term average level in August. That “created a good trading environment for Evolving and, of course, for most other CTAs,” says Vassbotn.

After gaining 1.3 percent last year, RPM Evolving CTA Fund had a difficult start to 2019 by losing 8.7 percent in the first two months of the year. Starting with March, however, the multi-CTA fund enjoyed six consecutive months of positive performance. “After a tough start to the year for Evolving and CTAs in general, the fund has delivered strong performance for the last six consecutive months, with fixed income as the single most profitable sector,” Vassbotn tells HedgeNordic.

“Evolving has also delivered particularly strong performance thanks to the active diversification within the CTA space both in terms of sub-strategies and the fund’s focus on growing and evolving managers.” 2019 was kicked off with ultra-low market trendiness, according to Vassbotn, but the rest of the year has experienced increasing trendiness “as a result of long-term bullish trends in fixed income and short-term trends in commodity markets.”

close

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

Our newsletter is sent once a week, every Friday.

Eugeniu Guzun
Eugeniu Guzun
Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index, and as a journalist covering the Nordic hedge fund industry for HedgeNordic. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018. Write to Eugeniu Guzun at eugene@hedgenordic.com

Latest Articles

January: Mirror Image of 2022 for Nordic CTAs

Stockholm (HedgeNordic) – The average return of the eight “CTA” constituents of the Nordic Hedge Index that had positive performance in 2022 was 14.4...

Did Energy Prices Cause This Inflation Surge?

Copenhagen – (Jesper Rangvid): You often hear that soaring energy prices, caused by supply-chain disruptions resulting from the pandemic and the war in Ukraine,...

UB Launches Forest-Focused PE Fund

Stockholm (HedgeNordic) – United Bankers is launching a private equity fund investing in forest and bio-based industries. The fund, named UB Forest Industry Green...

Origo’s First Ten Years on (a) Quest

Stockholm (HedgeNordic) – Long/short equity fund Origo Quest is celebrating ten years of bargain hunting in the universe of Nordic small-cap stocks. After a...

The Cycle is Back and so is Active Investing

Stockholm (HedgeNordic) – The relationship between equities and bonds has traditionally been inverse, making bonds a leading choice as a diversifier to an equities...

Alcur’s Third Win in a Row

Stockholm (HedgeNordic) – Alcur Fonder’s first hedge fund, Alcur, has been named “Hedge Fund of the Year” by Swedish business magazine Privata Affärer for...

Latest

Most Popular This Week

Voices

Request for Proposal

- Advertisement -