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Stormy June for CTAs

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Stockholm (HedgeNordic) – The market environment was not very fruitful for many Nordic CTAs during the month of June, with the group incurring an average decline of 1.4 percent for the month. Some CTAs managed to do well nonetheless. The entire fund family of Finnish systematic asset manager Estlander & Partners, Mandatum’s managed futures fund and Danish trend-following commodity fund Calculo Evolution Fund all managed to book gains for the month.

Lynx Asset Management’s machine learning-assisted Lynx Constellation incurred a monthly loss of 7.3 percent in June to end the first half of 2021 down 9.6 percent. The vehicle recouped some of these losses in July, with Lynx Constellation now down 6.6 percent year-to-date through July 6 after gaining 3.3 percent month-to-date. Lynx Asset Management’s flagship systematic trend-following vehicle Lynx (Sweden) was down 2.8 percent in June as “gains in commodities were outweighed by declines in currencies, fixed income and equities.” The diversified managed futures strategy is up 3.9 percent year-to-date through July 6.

RPM Galaxy, the best performing member of the NHX CTA sub-index in the first five months of 2021, was down 5.6 percent in June to end the first half of the year up 10.6 percent. The other fund under the umbrella of Stockholm-based CTA specialist RPM Risk & Portfolio Management, RPM Evolving CTA Fund, was down 2.3 percent last month to trim the year-to-date advance to 5.7 percent. According to a monthly letter by RPM, time series momentum “decreased continuously throughout the month, but especially during the third week when hawkish Fed comments spooked market participants triggering a couple of painful reversals.”

All three vehicles under the umbrella of Estlander & Partners booked gains for June. The Estlander & Partners Freedom program and Estlander & Partners Alpha Trend program gained 2.4 percent and 0.4 percent last month, respectively. The Alpha Trend program, the longest-living member of the Nordic Hedge Index, ended the first half of 2021 up 11.7 percent, while the Freedom program was up 14.7 percent in the first six months of the year. Estlander & Partners Glacies AIF, a futures-based cross-asset multi-factor vehicle, edged up 0.2 percent in June to bring the advance for the first half of the year to 5.7 percent.

Artificial intelligence-assisted systematic Mandatum Managed Futures Fund, meanwhile, advanced 1.3 percent in June. Mandatum’s managed futures fund, which considers the changing nature of volatility and uses machine learning algorithms that select the right combination of trading models for a given environment, booked a gain of 10.3 percent for the first half of 2021. Commodity-focused Calculo Evolution Fund gained 0.5 percent in June to reduce its 2021 decline to 1.9 percent.

 

Photo by Jeremy Bishop on Unsplash

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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

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