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CTAs on Track for Best Month Since 2010

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Stockholm (HedgeNordic) – Up an estimated 5.9 percent on average in March (82 percent reported), Nordic CTAs are on the way to achieving their best month since late 2010 to recoup the losses incurred in the first two months of this year. All managed futures-trading hedge funds within the Nordic Hedge Index with reported March figures delivered positive returns last month, with RPM Evolving CTA Fund and Lynx (Sweden) leading the gains.

With a monthly advance of 11.6 percent, RPM Evolving CTA Fund achieved its second-best month since launching in mid-2013. The fund, which invests in a select group of young CTA managers in their “Evolving Phase,” gained 18.4 percent in the first three months of 2022. “Performance was positive basically across all sectors, but mainly in bonds and energies due to a worsening bond selloff amid expectations of faster policy tightening, and surging energy prices amid the escalating war in Ukraine, respectively,” says a letter to investors by CTA specialist RPM Risk & Portfolio Management. “With few exceptions, performance was positive across managers and sub-strategies.”

“Performance was positive basically across all sectors, but mainly in bonds and energies due to a worsening bond selloff amid expectations of faster policy tightening, and surging energy prices amid the escalating war in Ukraine, respectively.”

Lynx Asset Management’s systematic trend-following vehicle, Lynx (Sweden), ended the month of March with a gain of 10.6 percent to achieve its best month since 2008. The fund has gained 17.9 percent so far in 2022 through the end of March. Lynx (Sweden), the oldest running hedge fund in Sweden, relies on both trend-following models and diversifying models to catch trends in various markets and reduce drawdowns in non-trending environments. “Lynx generated a strong gain in March as rising global inflationary pressures were exacerbated by the ongoing military conflict in Ukraine resulting in extreme price movements across asset classes,” writes Lynx Asset Management in a letter to investors.

“Lynx generated a strong gain in March as rising global inflationary pressures were exacerbated by the ongoing military conflict in Ukraine resulting in extreme price movements across asset classes.”

“Long positions in energies were particularly profitable as prices spiked on speculation that sanctions on Russia would extend to oil and gas exports and potentially have a dramatic impact on European inventories,” writes the Lynx team. “In other commodities, an unprecedented move in nickel traded on the London Metal Exchange (LME) resulted in a solid gain as Russian supply concerns catalyzed a short squeeze which drove prices up by over 100% in a day before the exchange suspended trading,” the letter continues. “In fixed income, short positions across the US and European yield curves were also highly profitable as rate expectations rose on climbing inflation readings.”

Chart by Visualizer

Trend-following commodity fund Calculo Evolution Fund, meanwhile, gained 5.3 percent in March to reach its best month since launching in August 2018. The fund steered by Philip Engel Carlsson advanced 9.7 percent in the first three months of this year. SEB Asset Selection, a purely quant-driven trend-follower that invests across four different asset classes, advanced 6.6 percent last month to bring its year-to-date performance into positive territory at 6.2 percent. Volt Diversified Alpha Fund booked a monthly gain of 5.7 percent in March, while Estlander & Partners’ Alpha Trend Program and Freedom Program gained 5.6 percent and 3.5 percent, respectively.

 

Photo by Glen Carrie 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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