Stockholm (HedgeNordic) – Commodity-focused quantitative manager Calculo Capital has launched a higher risk, higher return version of its Calculo Evolution Fund. The original trend-following strategy profited from this year’s volatile commodity markets amid a slew of factors such as rising inflation, recession concerns, war and war-related disruptions to markets for critical raw materials, among others. The fund gained 13.6 percent so far in 2022.
“Calculo soft-launched a 2x volatility version of Calculo Evolution Fund in August 2022, which is opening up for external investors in January 2023,” founder and fund manager Philip Engel Carlsson tells HedgeNordic. “We have received investor interest in getting exposure to our steady performance but with greater volatility and a higher target return,” he explains. The new fund, which is built on the same principles as Calculo Evolution Fund, has a volatility target that corresponds to twice the volatility target of the original fund.
“Calculo soft-launched a 2x volatility version of Calculo Evolution Fund in August 2022, which is opening up for external investors in January 2023.”
Calculo Evolution Fund 2x has returned 7.5 percent over the four months since its soft launch in August, compared to a return of 3.8 percent for Calculo Evolution Fund over the same period. “For the new fund, we have a long-term target return of 12-15 percent annualized, with a volatility that is less than the long-term volatility of the broad equity indices,” says Carlsson. “Despite the higher volatility target, the fund will continue to be uncorrelated just like Calculo Evolution Fund. The new fund offering is simply a 2x mirror of the original fund.”
Launched in August 2018, Calculo Evolution Fund is a trend-following commodity fund that acts on trading signals automatically generated daily by a rules-based algorithm. Overseen by Carlsson out of the Charlottenlund region of Denmark, Calculo Evolution Fund exclusively focuses on the most liquid commodities, ranging from energy, metals, and agricultural commodities to softs such as coffee, cocoa, sugar, and others. The fund has generated an annualized return of 4.8 percent since inception with a 0.04 correlation with the MSCI World and a 0.32 correlation with the SG CTA Index, which is designed to capture the performance of the largest players in the trend-following managed futures space.