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Special Report: Systematic Strategies 2022

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Stockholm (HedgeNordic) – Winter is coming! A glimpse to the calendar will be a better indicator than the outside temperatures in this, so far, mild autumn of 2022. Chances are, it will be yet another winter with the Covid pandemic having a grip on us. For Europe, certainly, it will also be a winter overshadowed by concerns about a steady, affordable gas and electricity supply.

The list of concerns goes on: we have war in Europe, soaring inflation, supply chain disruptions, ongoing de-globalization, Brexit, record bankruptcies and the (threat of) poverty. Uncertainty about the future, anxiety and fear of what is to come this winter and beyond lies in human nature.

It may be these situations dominated by a confederacy of problems that manifest the beauty of systematic approaches to investment and trading. A sober, rules-based, orderly and calm procedure describing pre-drafted action and reaction plans that will answer most of the “what ifs?”

It seems timely that in this edition of HedgeNordic’s special report series we take a deep dive into systematic trading. This publication starts off with “An Update on a Contemporary Evaluation of Key Alternative Investments” by Dan Rizzuto and Linus Nilsson.

With the Lynx Program enjoying one of its best years since launching in the early 2000s, Martin Källström of Lynx Asset Management explains how “Lynx Stays True to Main Objective” of delivering strong returns with a negative correlation to equities in risk-off environments. With trend-following “Gaining Momentum,” Man AHL’s Graham Robertson seeks to answer the question of “Where Next for Trend- Following?” by questioning whether recent positive performance is just predicted on continued worries around inflation and weakness in traditional assets.

Nicolas Mirjolet, the CEO of Zurich-based Quantica Capital, sees some evidence of Trend Following being “A Regime-Agnostic Strategy” where there is no long-term link between the macro climate and returns. Gernot Heitzinger and Joseph Waldstein of Austrian CTA manager SMN conclude that “If It Ain’t Broke, Don’t Fix It” as their SMN Diversified Futures Fund clocked in an impressive gain of 85 percent over the rolling 36 months after a tough decade for the strategy.

Harold de Boer of Transtrend discusses the discretionary and systematic elements of their trading approach by asking the question of “Does the Captain Still Fly?,” while NorQuant’s Thomas Nygaard lays out the advantages of “Taking Emotion out of the Equation” for their ETF-focused asset class momentum strategy. To improve the performance of trend-following strategies in environments with abrupt changes in market momentum, Lars Wind has launched “The Wavebreaker,” a quantitative trend- following strategy combined with a systematic asset allocation strategy complemented by discretionary macro overlays.

In “Systematic Credit: Accessing Another Asset Class,” Irena Siyi Xiong from Arabesque IA discusses the challenges of building and applying a systematic model to credit instruments. Kerim Celebi from Brummer & Partners then describes how 2022 so far has been “A Year of Crisis Alpha for Brummer Multi- Strategy” as the fund’s solid performance in 2022 has been driven, to a large extent, by systematic trend-following strategies.

In “Danske’s Quest for True Alternative Risk Premia,” the Quant and Overlay team at Danske Bank Asset Management headed by Jasper Riis explains how a newly-launched hedge fund combines carry strategies harvesting alternative risk premia with defensive strategies that protect the portfolio against significant drawdowns. Richard Murray, the CEO of Swedish digital assets investment firm Hilbert Capital, introduces their new investment product offering lower-risk exposure to the crypto market by “Harvesting the Crypto Vol.” Cliff Asness of AQR wraps up the publication with “The Raisons d’être of Managed Futures,” where he presents a detailed study of how “so many managers bucked the trend that was supposed to be your friend.”

We hope you have a good read with this magazine.

Please find the report here.

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Kamran Ghalitschi
Kamran Ghalitschi
Kamran has been working in the financial industry since 1994 and has specialized on client relations and marketing. Having worked with retail clients in asset management and brokerage the first ten years of his career for major European banks, he joined a CTA / Managed Futures fund with 1,5 Billion USD under management where he was responsible for sales, client relations and operations in the BeNeLux and Nordic countries. Kamran joined a multi-family office managing their own fund of hedgefunds with 400 million USD AuM in 2009. Kamran has worked and lived in Vienna, Frankfurt, Amsterdam and Stockholm. Born in 1974, Kamran today again lives in Vienna, Austria.

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