Stockholm (HedgeNordic) – Systematic trend-following strategies as a group have enjoyed an outstanding 2022 so far, but the industry still experienced diverging fortunes this year. Finnish systematic managed futures fund NS Quant has now been closed down after struggling to capture trends in what has broadly been a fertile environment for quantitative trend-following hedge funds in 2022.
Down 12.2 percent in the first eight months of 2022, NS Quant has seen its assets under management drop below €2 million during the summer. “We decided to close NS Quant down,” says Markku Malkamäki, the chief architect behind the strategy powering NS Quant. “Appetite to invest in a CTA was less than we expected, unfortunately, and the cost structure in a Luxembourg-domiciled structure is very high and unsustainable unless the size of the fund grows fast,” he elaborates. “We continue to offer NS Quant strategy as a Managed Account service.”
“Appetite to invest in a CTA was less than we expected, unfortunately, and the cost structure in a Luxembourg-domiciled structure is very high and unsustainable unless the size of the fund grows fast.”
The origins of NS Quant go back a few decades to Malkamäki’s PhD work and his time at Finnish asset manager Pohjola Asset Management. Malkamäki and his older son, Markus, started formalizing and coding the existing systematic approach powering NS Quant at the beginning of 2019. Malkamäki previously described NS Quant as “a systematic long/short strategy investing in liquid equity and commodity futures.” He went on to add that “NS Quant relies on a managed futures concept with a flavour of trend-following.”
Having gained 9.5 percent net of fees in its first year of operations in 2020, NS Quant has lost a cumulative 13.4 percent since launching in February 2020 through the end of August 2022. The systematic managed futures fund gained 10.5 percent in the risk-off environment of the first quarter of 2020 and was one of the few funds to deliver positive performance both in March and April 2020.
