Nordic CTAs: So Far, So Good

Stockholm (HedgeNordic) – Nordic CTAs performed strongly during the first half of February, based on figures from nine of the 15 members of the NHX CTA. RPM Galaxy, SEB Asset Selection Opportunistic, and Lynx (Sweden) are this month’s best performers so far.

RPM Galaxy, a multi-CTA fund that invests in a group of large and established CTA managers with at least $500 million under management, advanced 8.8 percent month-to-date through February 19. The other fund managed by Stockholm-based RPM Risk & Portfolio Management, RPM Evolving CTA Fund, gained 4.3 percent month-to-date. In contrast to RPM Galaxy, RPM Evolving CTA Fund invests in a select group of CTAs that are in their so-called evolving phase, which tends to be the most promising period for CTA managers from a risk-return perspective. RPM Galaxy gained 12.9 percent year-to-date, while RPM Evolving CTA Fund is up 9.4 percent in 2020.

SEB Asset Selection, a purely quant-driven trend-follower that invests across four different asset classes, gained 3.9 percent month-to-date through February 19. The fund is managed by the SEB Global Quant Team led by Hans-Olov Bornemann. SEB Asset Selection Opportunistic, a more aggressive version of SEB Asset Selection, gained 8.1 percent during the same period.

Systematic trend-following fund Lynx (Sweden), the best performing member of the NHX CTA last year, gained 7.3 percent month-to-date through February 18. The fund returned 15.4 percent last year. Lynx (Sweden) uses both trend-following models and diversifying models to catch trends in various markets and reduce drawdowns in non-trending environments. Lynx Constellation, another systematic fund launched by Lynx Asset Management in October last year, was up 4.4 percent month-to-date through the end of last week.

Mandatum Managed Futures Fund, an artificial intelligence-assisted managed futures fund launched at the end of December, gained 2.5 percent month-to-date through February 18. IPM Systematic Macro Fund, a systematic and fundamentals-focused macro strategy not relying on trends traditional CTA managers seek to exploit, was up 2.2 percent month-to-date through February 15. IPM Systematic Currency Fund gained 1.4 percent during the same period.

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