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CTAs Maintain Momentum

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Stockholm (HedgeNordic) – After achieving one of their best months over the past decade in March, Nordic CTAs enjoyed another positive month in April. Nordic CTAs advanced about three percent on average in April (100 percent reported) to extend their year-to-date advance to 5.9 percent.

After achieving its best month since 2008 in March with an advance of 10.6 percent, Lynx (Sweden) has gained an additional 8.5 percent in April as profits were generated in all asset classes. Lynx Asset Management’s systematic trend-following vehicle currently ranks as the best-performing member of the Nordic Hedge Index with an advance of 27.9 percent in the first four months of 2022. The trend-follower’s largest gains in April were realized in the interest rate sector as central banks around the world shifted towards a more hawkish monetary policy, according to a letter to investors. In equities, the short exposure in the US was particularly profitable as both the S&P 500 and Dow Jones experienced their worst month since March of 2020.

SEB’s quant-driven trend-follower, SEB Asset Allocation, followed suit with a monthly advance of 6.9 percent in April. The fund overseen by Otto Francke and Mikael Nilsson gained 13.5 percent in the first four months of the year. RPM Evolving CTA Fund, meanwhile, advanced 5.9 percent in April to take its 2022 performance to 25.6 percent. The fund managed by CTA specialist RPM Risk & Portfolio Management invests in a select group of young CTA managers in their “Evolving Phase.” RPM Evolving CTA Fund was up “in a continuation of an environment characterized by uncertainty,” writes the RPM team. “The month was dominated by inflation fears and rate hikes, a strengthening USD and moves in the energy markets. All sub-strategies, except one, ended the month in positive territory.”

After a difficult start to 2022, Mandatum Life Managed Futures Fund has enjoyed two strong months in a row with an advance of 4.2 percent in March and an additional 4.4 percent in April. 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, ended the first four months of 2022 in positive territory at 1.1 percent.

Volt Diversified Alpha, which uses a fundamental-focused systematic trading program to capture price moves motivated by changes in underlying economic factors, gained 2.1 percent in April to bring its year-to-date advance further into positive territory at 2.7 percent. The Volt program was profitable in April mainly due to short equity positions and long grains positions. Estlander & Partners Glacies and Wavebreaker Fund were both up 2.0 percent in April. Weavebreaker, a quantitative trend-following strategy combined with a systematic asset allocation strategy and complemented by discretionary macro overlays, has gained 5.6 percent since launching at the beginning of the year. Trend-following commodity fund Calculo Evolution Fund, meanwhile, is up 11.8 percent in 2022 after advancing 1.9 percent in April.

 

Photo by Tim Mossholder 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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