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2022: The Year of Traditional Trend-Followers

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Stockholm (HedgeNordic) – Trend-following CTAs enjoyed one of their best years in 2022 amid a lack of equilibrium across regions and asset classes. The pool of 20 large CTAs tracked by Société Générale booked a record gain of 20 percent for the year, outpacing the previous record set in 2008. The smaller pool of Nordic CTAs – or managed futures vehicles – ended the year up only 3.9 percent even though Stockholm-based Lynx was one of the top performers globally.

Although most constituents of the NHX CTA index enjoyed gains in 2022, Estlander & Partners’ two futures-based cross-asset multi-factor vehicles dragged down the group’s aggregate performance. The eight managed futures vehicles in the Nordic Hedge Index (out of the ten) with positive performance for 2022 gained 14.4 percent on average, with the Lynx Fund leading the gains. With an advance of 35.9 percent, Lynx Asset Management’s trend-following program enjoyed its second-best annual performance since its inception in 2000. Funds with a tilt to more traditional trend-following performed best in 2022.

Chart by Visualizer

The Lynx Fund, the longest-living hedge fund in Sweden, ended 2022 as the second best-performing hedge fund in the Nordics and the best performer among managed futures vehicles. The Lynx Program powering the fund relies on trend-following models to catch trends across different timeframes in various asset classes and diversifying models to reduce drawdowns in non-trending environments. With a return of 35.8 percent in the first half of 2022, the $7.4 billion Lynx Program enjoyed its strongest start to a calendar year since its inception before experiencing a more up-and-down second half of the year.

RPM Evolving CTA Fund, which invests in a small group of young and evolving CTA managers, gained 24.4 percent during the course of 2022. This was the fund’s best yearly performance since launching in mid-2013. SEB’s quant-driven trend-follower, SEB Asset Allocation, also enjoyed strong performance in 2022. The fund managed by SEB’s Quantitative Strategies and Liquid Alternatives team, with Otto Francke and Mikael Nilsson as lead portfolio managers, gained 16.3 percent in 2022, the fund’s third-best year on record since its launch in 2006.

Calculo Evolution Fund enjoyed its best year in 2022 since launching in the summer of 2018 with a return of 15.1 percent. The trend-following commodity fund profited from last year’s volatile commodity markets amid a slew of factors such as rising inflation, recession concerns, and war-related disruptions. Philip Engel Carlsson’s Calculo Capital has launched a higher risk, higher return version of Calculo Evolution Fund, which opened for external investors this January.

Mandatum Managed Futures Fund, which uses machine learning algorithms that select the right combination of momentum-based models for a given environment, ended 2022 up 11 percent after booking a gain of 10.4 percent in 2021. Mandatum Asset Management’s managed futures vehicle has generated an annualized return of 8.8 percent since launching in late 2019, exhibiting a correlation with the SG CTA Index of only 0.40. Estlander & Partners’ legacy trend-following strategy Alpha Trend followed suit with an advance of 10.2 percent for the year. Estlander & Partners’ other two vehicles, Glacies and Freedom, booked heavy losses in 2022.

Volt Diversified Alpha Fund, which relies on a fundamental-focused systematic trading program to capture price moves motivated by changes in underlying economic factors, finished 2022 in the green at 1.8 percent. Wavebreaker Fund, a hybrid of systematic trend-following and discretionary macro, ended its first year in positive territory at 0.5 percent.

2022 offered a fertile environment for many trend-following managers. The current macroeconomic environment, geopolitical uncertainties, and the likelihood of central banks moving at different paces and directions in their efforts to combat inflation are promising to create a suitable habitat for trend followers.


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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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