- Advertisement -
- Advertisement -

CTAs Take Another Step Back

- Advertisement -

Stockholm (HedgeNordic) – Nordic CTAs as a group suffered their worst month this year as the overall “trendiness” across markets decreased, with trends in currencies, equities and metals reversing during the month. The 16 members of the NHX CTA sub-category were down an estimated 1.9 percent on average last month (94 percent reported), which brought the group’s year-to-date performance back into negative territory at minus 1.3 percent.

Only three members of the NHX CTA category reported gains for September, with Calculo Evolution Fund leading the gains. The artificial intelligence-assisted trend-following commodity fund managed by Philip Engel Carlsson (pictured) advanced 4.1 percent last month to bring the year-to-date performance to 6.8 percent. Calculo Evolution Fund’s September advance was mainly attributable to gains from trading grains – corn, soybeans and wheat – and shorting energy markets. Pointing out a possible reason for last month’s dispersion in the CTA space, Carlsson told HedgeNordic that “Calculo’s algorithms captured shorter-lived momentum-driven movements, differentiating the fund’s approach from classic CTA funds.”

Volt Diversified Alpha Fund steered by CIO Patrik Säfvenblad, one of the best-performing hedge funds in the Nordics this year, gained 0.4 percent in September to bring its 2020 advance to 34.6 percent. The diversified systematic trading vehicle, which uses machine learning and fundamental data to capture price moves across markets, is the best-performing member of the NHX CTA sub-category and the sixth best-performing Nordic hedge fund in 2020. According to a letter to investors, “September provided a classic reversal scenario as equities sold off after a long and strong rally. Thanks to the use of short-term, fundamental signals, we captured this reversal in both equities and fixed income.”

Machine learning strategy Lynx Constellation also edged up in September, gaining 0.3 percent last month to reduce the year-to-date decline to 0.3 percent. “Lynx Constellation was profitable in September as gains in interest rates, commodities and equities outweighed losses in currencies,” says a letter to investors by the team running Lynx Constellation. “Agricultural markets were profitable in aggregate, although gains were mitigated by losses in precious metals, specifically long positions in silver and gold,” the letter added.

At the other end of the table, Finnish systematic managed futures fund NS Quant gave up a big portion of its 2020 gains last month after declining by 8.4 percent. The fund is still in positive territory for the year at 3.3 percent, gains mainly attributable to the advance of about ten percent during the turbulent month of March. RPM Galaxy, a multi-CTA fund that invests in a group of large and established CTA managers with at least $500 million under management, was down 5.1 percent in September.



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

The Spectacular Unspectacular 20th Anniversary

Stockholm (HedgeNordic) – Reaching the 20th anniversary in the often short-lived and fast-paced hedge fund world is quite an achievement. In fact, some activity...

Head of Research Havnen Leaves CARN

Stockholm (HedgeNordic) – Harald Havnen is leaving CARN Capital and his role as Head of Research to join Norway’s largest pension fund advisor Gabler...

Strand to Launch the “Essential”

Stockholm (HedgeNordic) – Former hedge fund manager Eric Strand is launching the fourth fund under his own fund boutique AuAg Fonder after receiving approval...

Back to the Old Home

Stockholm (HedgeNordic) – Carnegie’s previously announced acquisition of Carnegie Fonder has been completed. The acquisition completed under the umbrella of the newly formed Carnegie...

Round Table: ETFs & Asset Management

Stockholm (HedgeNordic) – At a round table discussion that took place in Stockholm on October 17, asset managers and ETF providers discussed and answered...

Nordic Managers Win EuroHedge Nominations

Stockholm (HedgeNordic) – With Intelligence has released the first round of nominations for the EuroHedge Awards 2022, with the list featuring seven Nordic hedge...