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Another Mixed Month for Nordic CTAs

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Stockholm (HedgeNordic) – Nordic CTAs enjoyed a strong first half of June only to see trends reverse in the second half – and profits evaporate – as inflation worries gave way to recession fears. Even so, Nordic CTAs as a group edged up 0.2 percent in June to bring their performance for the first half of 2022 to 5.5 percent as markets recorded one of the worst first half-year performances in over fifty years.

Lynx Asset Management’s systematic trend-following vehicle has been one of last month’s and this year’s best performers within the Nordic hedge fund universe, with Lynx (Sweden) advancing 5.1 percent in June to end the first half of 2022 up 35.8 percent. “Lynx was solidly profitable in June as gains in fixed income, equities and foreign exchange outweighed a loss in commodities,” writes Lynx Asset Management in a letter to investors.

Lynx (Sweden), one of the oldest members of the Nordic Hedge Index, recorded its best first half-year since launching back in 2000. The fund is powered by the Lynx Programme, which uses both trend-following models and diversifying models to catch trends across markets and reduce drawdowns in non-trending environments. All of the fund’s models – short-term, medium-term and long-term trend models, as well as short-term, medium-term and long-term diversifying models – delivered positive returns both in June and year-to-date.

Volt Diversified Alpha Fund, which relies on a fundamental-focused systematic trading program to capture price moves motivated by changes in underlying economic factors, also enjoyed strong performance in June. The fund gained 4.7 percent in June to end the first half of 2022 up 7.4 percent, as the rapid shift in market outlook in mid-June was beneficial for its Volt program. “In mid-June, inflation suddenly became yesterday’s fear,” writes the Volt team. “Instead, markets decided that currently signaled interest rate policies will trigger a global recession.” Equity and commodity markets fell in response, while bond markets rallied.

SEB’s quant-driven trend-follower, SEB Asset Allocation, ended the first six months of 2022 up 17.8 percent after gaining 4.2 percent in June. Mandatum Asset Management’s managed futures fund, meanwhile, booked a monthly advance of 2.7 percent for June after advancing 8.9 percent in the first half of the month. Mandatum Managed Futures Fund, which uses machine learning algorithms that select the right combination of momentum-based models for a given environment, ended the first half of the year in positive territory at 0.6 percent. The recently-launched Wavebreaker Fund, which employs a quantitative trend-following strategy combined with a systematic asset allocation strategy complemented by discretionary macro overlays, was up 1.3 percent in June to bring its inception-to-date advance to 5.4 percent.

 

Photo by Susan Q Yin 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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