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January: Mirror Image of 2022 for Nordic CTAs

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Stockholm (HedgeNordic) – The average return of the eight “CTA” constituents of the Nordic Hedge Index that had positive performance in 2022 was 14.4 percent. The group’s aggregate performance was dragged down by Estlander & Partners’ two futures-based multi-factor vehicles, Freedom and Glacies. While the two Estlander & Partners vehicles started off 2023 on a strong note, all of last year’s positive performers booked losses in the first month of the year.

Glacies and Freedom, which both rely on a combination of return-driving, diversifying and tail-hedgingstrategies, advanced 4.7 percent and 3.4 percent, respectively, in January. The strong gains in January helped Glacies and Freedom recoup some of the losses incurred in 2022, when the performance of diversifying models was not sufficient to offset losses in the return-driving models. After advancing 10.2 percent in 2022, Estlander & Partners’ legacy trend-following strategy Alpha Trend booked a monthly loss of 3.3 percent in January 2023.

Lynx Asset Management’s trend-following Lynx (Sweden) fund enjoyed its second-best annual performance in 2022 since its inception in 2000 with an advance of 35.9 percent. Lynx (Sweden) ended the first month of 2023 down 3.2 percent as losses in fixed income and commodities outweighed smaller gains in equities and foreign exchange. Mandatum Managed Futures Fund, which uses machine learning algorithms that select the right combination of momentum-based models for a given environment, booked a loss of 3.7 percent in January 2023. Mandatum Asset Management’s managed futures vehicle ended 2022 up 11 percent after booking a gain of 10.4 percent in 2021.

SEB Asset Selection and RPM Evolving CTA Fund, two other strong-performing trend-following CTAs in 2022, fell by a similar 2.8 percent in January 2023. RPM Evolving CTA Fund, which invests in a small group of young and evolving CTA managers, gained 24.4 percent in 2022 to reach its best yearly performance since launching in mid-2013. SEB’s quant-driven trend-follower, SEB Asset Allocation, also enjoyed strong performance in 2022 after gaining 16.3 percent, reaching its third-best year on record since its launch in 2006.

Trend-following commodity vehicle Calculo Evolution Fund edged down 1.0 percent in January after enjoyingits best year since launching in the summer of 2018 with a return of 15.1 percent for 2022. The recently-launched 2x version of Calculo Evolution Fund ended the month of January down 1.8 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 down 0.6 percent in January 2023 after finishing2022 in the green at 1.8 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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