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Month in Review – September 2022

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Stockholm (HedgeNordic) – Nordic hedge funds booked an average loss of 2.3 percent in September (86 percent reported), edging closer to their worst annual showing of 8.7 percent recorded in 2008. Trend-following managers, a rare bright spot this year, notched big gains in September yet again. 44 of the 144 members of the Nordic Hedge Index ended the first nine months of 2022 in positive territory.

Month in Review – September 2022

Four of the five strategy categories within the Nordic Hedge Index ended the month of September in the red, with only CTAs finishing the month in positive territory. Nordic CTAs advanced 3.0 percent on average in September to end the first three quarters of 2022 up 7.5 percent. Equity-focused funds, meanwhile, were down 3.2 percent in September and 7.9 percent over the first nine months of the year.

Fixed-income hedge funds are suffering their worst year since 2008, with the group down 13.4 percent year-to-date through the end of September after booking an average loss of 4.4 percent last month. Multi-strategy managers fell by 1.2 percent on average to end the first three quarters of 2022 down 7.4 percent. Funds of hedge funds, meanwhile, edged down 0.7 percent in September to take their year-to-date performance a little further into negative territory at 0.9 percent.

At a country level, the Danish hedge fund industry dominated by fixed-income strategies lost the most in September after booking an average loss of 4.8 percent, ending the first three quarters of the year down 15.6 percent. Finnish hedge funds booked an average loss of 1.9 percent in September to take their year-to-date performance to a negative 10.0 percent. Swedish hedge funds, which account for the largest portion of the Nordic hedge fund industry, fell by 4.4 percent over the first nine months of 2022 after incurring a loss of 1.6 percent in September. Norwegian hedge funds, meanwhile, edged down 2.2 percent over the first three quarters of 2022 after booking an average decline of 1.2 percent last month.

The performance dispersion between last month’s best- and worst-performing members of the Nordic Hedge Index increased month-over-month. In September, the top 20 percent of Nordic hedge funds advanced 3.1 percent and the bottom 20 percent lost 9.0 percent, representing a top-to-bottom dispersion of 12.1 percent versus 8.8 percent in August and 11.5 percent in July. In August, the top 20 percent were up a similar 3.1 percent and the bottom 20 percent were down 5.7 percent. About one in every three members of the Nordic Hedge Index with reported September figures posted gains last month.

Top Performers in September

Swedish-domiciled trend-follower Lynx Fund was last month’s best-performing member of the Nordic Hedge Index with a monthly advance of 9.9 percent, which catapulted the systematic trend-following vehicle to the top spot in this year’s list of best-performing Nordic hedge funds. Up 46.7 percent over the first three quarters of 2022, Lynx Fund is close to beating its best annual performance of 42.2 percent reached in 2008.

Chart by Visualizer

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.

Pensum Global Opportunities, a recently-launched equity-focused opportunistic fund managed by Peter Andersland – a co-founder of Sector Asset Management – alongside Inger Anne Varmann Vikre and Ermanno Mattio, gained 6.0 percent in September to take its performance since launching in January this year to 4.4 percent.

Chart by Visualizer

Energy-focused long/short equity fund OAM Absolute Return followed suit with a monthly advance of 5.6 percent, which brought the fund’s year-to-date performance further into positive territory at 23.5 percent. RPM Evolving CTA Fund, which invests in a select group of young CTA managers in their “Evolving Phase,” advanced 5.5 percent in September to end the first three quarters of 2022 up about 30 percent.

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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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