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Nordic CTAs Finish Strong in First Half of 2023

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Stockholm (HedgeNordic) – Nordic CTAs overcame a challenging start to 2023 and closed the first half of the year on a positive note, achieving their best month this year and third consecutive month of gains. Led by traditional trend-followers, the small group of Nordic CTAs recorded an estimated average gain of 2.9 percent in June, reducing their year-to-date decline to 0.5 percent.

Summarizing the market performance in June, CTA specialist RPM Risk & Portfolio Management highlights the initial rally in stock indices and sell-off in bonds driven by a strong US jobs report and the passage of the debt ceiling bill by the US senate. However, these trends reversed mid-month as concerns about potential interest rate increases and a US recession emerged. Towards the end of the month, stock markets resumed their rally and bond yields continued to rise, supported by new economic data reflecting the resilience of the US economy in a higher interest rate environment.

RPM also notes the depreciation of the US dollar throughout the month as the Federal Reserve paused its rate hikes as expected. “In commodities, directionless volatility reigned amid the waxing and waning of recession fears,” according to RPM. The failed coup attempt by Wagner Group in Russia further contributed to overall uncertainty. RPM’s Evolving CTA Fund, which invests in a select group of young and evolving CTA managers, gained 1.8 percent in June as the fund reached its ten-year anniversary. The fund ended the first half of 2023 in positive territory at 0.5 percent after achieving its best year to date in 2022 with a return of 24.3 percent.

Estlander & Partners’ legacy trend-following strategy, Alpha Trend, was the best-performing CTA in the Nordics in June with a monthly advance of 5.0 percent. Last month’s advance helped Alpha Trend trim its 2023 decline to 5.0 percent. Mandatum Asset Management’s managed futures vehicle had an equally strong June after a difficult start to 2023. Mandatum Managed Futures Fund, which uses machine learning algorithms to select the right combination of momentum-based models for a given environment, gained 4.9 percent in June to end the first half of the year down 8.3 percent. The fund booked gains of 11 percent and 10.4 percent in 2022 and 2021, respectively.

Estlander & Partners’ other vehicle, Freedom, also had a good month in June after gaining 4.2 percent, bringing the first half-year performance in positive territory at 2.0 percent. Compared to the more traditional trend-following CTAs, which broadly had a strong year in 2022, Estlander & Partners faced a challenging year last year after booking a loss of 27.6 percent. SEB’s quant-driven trend-follower, SEB Asset Selection, advanced 3.8 percent in June to end the first half of the year up 1.7 percent. The fund, managed by SEB’s Quantitative Strategies and Liquid Alternatives team, gained 16.3 percent in 2022 to achieve its third-best year since launching in 2006.

Lynx Asset Management’s trend-following vehicle Lynx, which enjoyed its second-best annual performance in 2022 with an advance of 35.9 percent, gained 1.6 percent in June to trim the 2023 decline to 6.8 percent. Epoque of Martin Redgård also ended the month of June in positive territory at 1.0 percent. Redgård, most recently CIO at US-based CTA manager Taaffeite Capital Management, took over the management of Tenoris One – renamed into Epoque – at the turn of the year to run a short-term systematic trend-following strategy. His fund has advanced 6.8 percent since the beginning of the year.

After enjoying its best year in 2022 since launching in the summer of 2018 with a return of 15.1 percent, the trend-following commodity-focused Calculo Evolution Fund gained 0.6 percent in June to end the first half of 2023 down 1.9 percent. 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 and gained 1.2 percent in June.

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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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