Nordic CTAs Give Back Some Gains

Stockholm (HedgeNordic) – After recording their best summer on record, Nordic CTAs were down 2.1 percent on average in September (81 percent reported) as the summer bond market rally changed course last month. Nordic CTAs are up 4.9 percent year-to-date through the end of September, giving up the position as the best-performing strategy category in the Nordic Hedge Index in 2019.

The world’s largest CTAs underperformed their Nordic peers last month. The SG CTA Index, which reflects the performance of a pool of CTAs selected from the larger managers open to new investment, fell by 3.2 percent in September. The 20-member SG CTA Index, which includes three members of the Nordic Hedge Index, gained 8.6 percent in the first three quarters of 2019.

The Barclay BTOP50 Index, which tracks a similar group of large investable CTAs, was down 3.1 percent last month, which trimmed its year-to-date performance to 9.1 percent. The broader Barclay CTA Index, comprised of over 500 CTAs, fell by only 1.0 percent in September based on reported data from 48 percent of index constituents. The Barclay CTA Index gained 6.7 percent in the first nine months of the year.

Trend-following fund Alfa Axiom Fund was last month’s best-performing member of the NHX CTA with a gain of 3.8 percent. Alfakraft’s fund was down 1.8 percent in the first three quarters of 2019. IPM Systematic Currency Fund followed suit with a monthly gain of 3.0 percent, which brought the fund’s year-to-date performance to 8.9 percent.

IPM Systematic Macro Fund, which employs a fundamentals-based systematic macro strategy, gained 2.7 percent in September. The flagship strategy of Stockholm-based systematic asset manager Informed Portfolio Management (IPM) is down 6.2 percent year-to-date through the end of September. Innolab Capital Index and Northern Star MG Relative Value were up 2.0 percent and 0.5 percent last month, respectively.

Note: Estlander & Partners Alpha Trend II – Class P, Shepherd Energy Portfolio and Volt Diversified Alpha Fund have yet to report their September return figures.


Image by Bruno Glätsch from Pixabay


About Author

Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index (NHX), as well as being a novice columnist covering the Nordic hedge fund industry for HedgeNordic. Prior to joining HedgeNordic, Eugeniu had served as a columnist for a U.S. journal covering insider trading activity, activist campaigns and hedge fund moves. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018.

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