Stockholm (HedgeNordic) – After enjoying their strongest month in July since late 2020, Nordic hedge funds edged down 0.7 percent in August (93 percent reported) after a volatile month in markets. CTAs, fixed-income funds and funds of hedge funds enjoyed positive returns in August.
Funds of hedge funds performed best as a group in August with an average advance of 0.6 percent. The funds of funds within the Nordic Hedge Index are flat to slightly negative at 0.1 percent over the first eight months of 2022. On the other edge of the ledger were multi-strategy and equity hedge funds, which were down 1.2 percent and 1.1 percent, respectively, in August. Multi-strategy funds are down 6.3 percent year-to-date through the end of August, whereas equity funds are down 5.0 percent. Trend-following CTAs, the top-performing strategy group so far in 2022, edged up 0.4 percent in August to extend their year-to-date advance to 4.3 percent. Fixed-income hedge funds, which are suffering their worst year since 2008, edged up 0.2 percent last month to trim the year-to-date decline to 9.5 percent.
At a country level, Danish hedge funds lost the most in August after booking an average decline of 1.4 percent to bring their 2022 decline to 11.6 percent. Finnish and Norwegian hedge funds lost 0.9 percent and 0.3 percent, respectively. Finnish hedge funds are down 8.3 percent over the first eight months of 2022, whereas Norwegian funds within the Nordic Hedge Index are down only 1.0 percent. Swedish hedge funds, which account for the largest share of the Nordic hedge fund universe, were down 0.4 percent in August to extend their year-to-date decline to 2.9 percent.
The performance dispersion between last month’s best- and worst-performing members of the Nordic Hedge Index decreased month-over-month. In August, the top 20 percent of Nordic hedge funds advanced 3.1 percent on average and the bottom 20 percent lost 5.7 percent, representing a top-to-bottom dispersion of 8.8 percent versus 11.5 percent in July. In July, the top 20 percent were up 8.7 percent and the bottom 20 percent were down 2.9 percent. About half of the members of the Nordic Hedge Index with reported August figures posted gains last month.
Top Performers in August
Last month’s top performers in the Nordic Hedge Index featured a variety of strategies including managed futures, equity, and fixed-income strategies. Atlant Fonder’s Protect fund, which is designed to perform well during periods of a sharply falling Swedish stock market, was last month’s best performer with an advance of 6.7 percent. Atlant Protect ended the first eight months of 2022 in positive territory at 2.7 percent.
Mandatum Managed Futures Fund, which uses machine learning algorithms that select the right combination of momentum-based models for a given environment, followed suit with a monthly advance of 6.4 percent. Last month’s advance brought the Mandatum managed futures vehicle’s 2022 performance back into positive territory at 0.8 percent. Long/short energy transition and shipping fund Oceanic Hedge Fund advanced 6.3 percent in August to extend its year-to-date advance to 25.7 percent. The fund run by Norwegian Cato Brahde from the remote Isle of Man in the Irish Sea is one of the best-performing members of the Nordic Hedge Index in 2022.
Sissener Canopus, a Norwegian bottom-up stock-picking fund founded by Jan Petter Sissener, advanced about 5.0 percent in August, bringing its performance for the year back into positive territory at 4.0 percent. SEB’s quant-driven trend-follower, SEB Asset Allocation, gained 4.7 percent in August to extend its 2022 gains to 19.3 percent. The fund managed by SEB’s Quantitative Strategies and Liquid Alternatives team, with Otto Francke and Mikael Nilsson as the lead portfolio managers, is among the ten best-performing hedge funds in the Nordics in 2022.
The Month in Review for August 2022 can be downloaded below:
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