Stockholm (HedgeNordic) – Nordic trend-followers notched big gains in September, with the group advancing 3.0 percent on average last month to take the year-to-date performance to 7.5 percent. The five best-performing constituents of the Nordic Hedge Index in September were trend-following CTAs.
Lynx Asset Management’s systematic trend-following vehicle, Lynx Fund, booked a monthly advance of 9.9 percent in September to take over the top spot in this year’s list of best-performing Nordic hedge funds with an advance of 46.7 percent. “Lynx was solidly profitable in September as strong gains in foreign exchange, fixed income and equities outweighed smaller losses in commodities,” the team at Lynx Asset Management writes in a letter to investors. Despite giving up some gains in the first days of October, the Swedish-domiciled Lynx Fund is close to beating its best annual performance of 42.2 percent reached in 2008.
Mandatum Managed Futures Fund, which uses machine learning algorithms that select the right combination of momentum-based models for a given environment, closely followed suit in September with a monthly return of 9.4 percent. With one quarter to the end of the year, Mandatum Asset Management’s managed future vehicle is up 10.3 percent so far in 2022, bringing its annualized return since launching in late 2019 to 9.3 percent.
RPM Evolving CTA Fund, which invests in a select group of young CTA managers in their “Evolving Phase,” gained about 30 percent over the first three quarters of 2022 after advancing 5.5 percent in September. RPM Evolving CTA Fund is currently among the top five best-performing members of the Nordic Hedge Index in 2022. SEB’s quant-driven trend-follower, SEB Asset Allocation, gained 4.8 percent in September to extend its 2022 returns to 25.1 percent. The fund managed by SEB’s Quantitative Strategies and Liquid Alternatives team, with Otto Francke and Mikael Nilsson as the lead portfolio managers, has strengthened its position among the ten best-performing hedge funds in the Nordics in 2022.
Estlander & Partners’ legacy trend-following strategy Alpha Trend also finished the month of September strongly. Estlander & Partners Alpha Trend Program advanced 4.0 percent last month to take the performance for the first nine months of 2022 to 9.8 percent. Estlander & Partners’ other two vehicles, Glacies and Freedom, also finished the month of September in the green.
Calculo Evolution Fund, Volt Diversified Alpha Fund, and Wavebreaker Fund are also enjoying strong performance so far in 2022. Pure-commodity trend-following Calculo Evolution Fund edged down 1.9 percent in September to trim its 2022 advance to 9.8 percent. Volt Diversified Alpha Fund, which relies on a fundamental-focused systematic trading program to capture price moves motivated by changes in underlying economic factors, edged up 0.9 percent last month to end the first three quarters of 2022 up 8.5 percent. Wavebreaker Fund, a newly-launched fund employing a quantitative trend-following strategy combined with a systematic asset allocation strategy complemented by discretionary macro overlays, is enjoying a solid first year after gaining 1.6 percent in September and 6.7 percent year-to-date.
