- Advertisement -
- Advertisement -

Flat End of Summer for CTAs

- Advertisement -

Stockholm (HedgeNordic) – After enjoying their best month in more than two years in July, Nordic CTAs edged down by 0.2 percent on average last month (94 percent reported). Nordic CTAs were the only NHX sub-strategy to post losses in August. The group is now up 0.6 percent for the year. After netting about 23 percent in the first quarter of the year, Swedish Volt Diversified Alpha Fund added to its string of gains in August to bring the year-to-date advance to 34.2 percent.

Equities and commodities rallied over the course of August, whereas fixed-income markets sold off, catching some Nordic CTAs long on fixed income off guard. Volt Diversified Alpha Fund, one of the best-performing hedge funds in the Nordics year-to-date, was last month’s best performer in the 17-member NHX CTA. The diversified systematic trading vehicle, which uses machine learning and fundamental to capture price moves across markets, gained an estimated 2.7 percent last month.

The Volt Program powering Volt Diversified Alpha profited from long positions in soft commodities and short positions in fixed income and the U.S. dollar. “Currency trading posted profits on the back of the continued weakness of the U.S. dollar,” writes the Volt team led by CIO Patrik Säfvenblad (pictured) in an update to investors. Because Volt’s fundamental program evaluates each market on a stand-alone basis, “in August, this allowed us to capture expected profits on the long side of equities and commodities, as well as less expected profits on the short side of fixed income.”

Chart by Visualizer

Systematic trend-following fund Lynx (Sweden), on the other hand, was caught off guard by the weakness in fixed-income markets. After gaining 7.5 percent in July, Lynx (Sweden) ended August flat as gains enjoyed in equity indices and currencies were offset by losses from trading interest-rates and commodities.

Calculo Evolution Fund, an artificial intelligence-assisted trend-following commodity fund, was last month’s second best-performing member of the NHX CTA with a gain of 0.9 percent. NS Quant, currently the second best-performing member of the NHX CTA in 2020 with a year-to-date return of 12.8 percent, gained a similar 0.9 percent last month. According to Calculo Evolution Fund’s portfolio manager Philip Engel Carlsson, “commodities continued their strong rebound from the pandemic-led slump seen during the first quarter and delivered +0.94% to the portfolio.” Carlsson goes on to say that “all sectors traded higher in August with the key drivers being weather worries, the weaker U.S. dollar, improved macroeconomic data and also a rising focus on inflation.”

According to the founder and portfolio manager of Calculo Evolution Fund, “while natural gas jumped on rising demand due to hot weather and the hurricane threat to production, it was the ongoing rally across key agriculture commodities that received most of the attention.” Machine learning strategy Lynx Constellation, meanwhile, saw the strong rally in natural gas prices as its primary detractor last month. Lynx Constellation fell an estimated 1.9 percent last month to take the year-to-date performance to a negative 0.7 percent.

The fund family run by Finnish systematic asset manager Estlander & Partners, which had been performing relatively well in 2020, also struggled during the month of August. The asset manager’s pure trend-following strategy, Estlander & Partners Alpha Trend, was down 3.3 percent last month to bring the year-to-date advance to 5.2 percent. Estlander & Partners Freedom, meanwhile, fell by 2.1 percent to take the 2020 performance to 9.4 percent. Estlander & Partners Freedom currently ranks as this year’s third best-performing member of the NHX CTA. Estlander & Partners Glacies, a futures-based cross-asset multi-factor vehicle, was down 0.5 percent in August.


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


Most Popular This Week


Request for Proposal

- Advertisement -

Latest Articles

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...

Lynx is Fund Company of the Year, Says Privata Affärer

Stockholm (HedgeNordic) – Lynx Asset Management has been named “Fund Company of the Year” by Swedish business magazine Privata Affärer. The distinction comes after...

RFP: Absolute Return Multi-Strategy/Fund of Funds

(Global Fund Search) - A Danish Institutional Investor is searching for an absolute return strategy for an allocation of EUR 40 million. The mandate...

Brummer Multi-Strategy Navigates 2022’s “Perfect” Storm

Stockholm (HedgeNordic) – 2022 experienced a “perfect” inflation storm due to an unprecedented amount of monetary and fiscal policy stimulus during the pandemic, war,...

Dream Comes True for Grönblom

Stockholm (HedgeNordic) – Ernst Grönblom had been running his high-conviction strategy of cherry-picking the stock market’s undervalued future winners under the umbrella of United...

Boarding the Broader Alternatives Ship

Stockholm (HedgeNordic) – Tore Davidsen, portfolio manager of SEB Eureka Fixed Income Relative Value since its launch in 2018, will join BankInvest as Senior...