- Advertisement -
- Advertisement -

Short-Term and Mean Reverting Flavour Lift Epoque

- Advertisement -

Stockholm (HedgeNordic) – Managed futures and trend-following funds, known for their quantitative techniques in capturing price trends, delivered strong returns last year. However, conditions for trend followers in 2023 have proven to be considerably more challenging. Amid a difficult first half for the universe, some recently launched – yet experienced – trend-followers from the Nordics, such as Epoque of Martin Redgård, have managed to perform well.

Epoque employs a short-term-focused approach to capitalize on momentum, price action, and breached significant price levels across G20 currencies and major stock market indices. The trend-following fund returned 6.8 percent in the first half of 2023. In contrast, the other nine players in the pool of Nordic CTAs ended the first half of the year with an average decline of 2.9 percent. Martin Redgård, formerly the CIO at US-based CTA manager Taaffeite Capital Management, attributes Epoque’s stronger performance compared to classical trend-following to the short-term holding periods and the mix of both trend-following and mean-reversion strategies.

“2023 so far has mostly been a mean-reverting market, especially in currencies.”

“2023 so far has mostly been a mean-reverting market, especially in currencies,” explains Redgård. “When the overall temperature of the market is not very clear and we experience a consolidating market that neither continues nor counters a long-term trend, mean-reverting strategies help avoid large givebacks,” he emphasizes. Classical longer-term trend-following strategies typically experience inevitable givebacks after periods of strong performance driven by long-lasting trends. “In this year’s consolidating market, mean-reverting strategies performed better than trend-following.”

Redgård clarifies that he is “not married to either trend-following or mean-reverting strategies,” and he uses mean-reversion positions occasionally as a hedge to his trend-following positions. “The combination of strategies acts as a tool to bring down the fund’s return volatility,” explains Redgård. Additionally, his short-term approach has set Epoque apart from longer-horizon trend-followers in 2023.

Short-Term Nature of the Strategy

“The short-term nature of the strategy is one of the main differentiators from more classical trend-following,” elaborates Redgård. His intra-day entry and exit approach, with a four-hour reconciliation of positions, contributed to Epoque’s 6.8 percent advance in the first half of 2023. “The more longer-term focused a trend-follower is, the closer the strategy gets to the underlying market beta,” he emphasizes. While Redgård points out that his trend-following strategy is not overly complex, he sought to bring something different to the universe of trend-followers. “This is a strategy for both retail and institutional investors, a strategy that exhibits low correlation to equity markets and even to other trend-followers this year,” he adds. However, he still remains a traditional trend-follower who has added a mean-reversion flavor to the strategy. 

“The short-term nature of the strategy is one of the main differentiators from more classical trend-following.”

Martin Redgård took over the management of AIFM Group’s multi-asset fund Tenoris One – renamed into Epoque – at the turn of the year to run his short-term systematic trend-following strategy. With AIFM recently receiving approval for fund regulation changes for Epoque, Redgård now has the freedom to add commodities to his trading universe, which currently consists of G20 currencies and major stock market indices. “Commodity markets are favorable to trend-following and have always been part of my approach,” says Redgård. The expansion of the tradeable market provides Redgård more opportunities to identify and capture trends or mean-reverting opportunities.

The recent approval to fund regulation changes by the Finansinspektionen also enables Redgård to increase the risk-return profile of the fund by a factor of 1.5. “Investors need a higher risk-return profile to act as a diversifier to their long-only portfolios,” he claims. His stringent risk management strategy, involving predetermined stop-loss levels on each bet and volatility-weighted risk allocation, positions Epoque to capitalize on the asymmetric upside potential offered by his trend-following strategy.

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

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

Latest Articles

Capital Four Expands New York Team

Stockholm (HedgeNordic) – Copenhagen-headquartered Capital Four continues to strengthen its investment team in New York. The credit boutique has announced the hiring of three...

Lynx Surpasses 100 Employees

Stockholm (HedgeNordic) – Systematic asset manager Lynx Asset Management has recently surpassed 100 employees, with over 20 new hires in 2023 across its headquarters...

Copper’s Significance in the World of Transition Essential Resources

Stockholm (HedgeNordic) – Copenhagen-based fund boutique St. Petri Capital has been running a thematic-focused long/short equity fund since early 2018. The fund employs a...

Bonds: Shaken, but Not Stirred

By Tarek Abou Zeid and Edward Hoyle – Man AHL: There can be little doubt that investors were scarred by bonds’ performance in 2022....

Ress Capital’s Hanna Persson Appointed to ELSA Board

Stockholm (HedgeNordic) – Hanna Persson of Ress Capital has been appointed to the Executive Board of the European Life Settlement Association (ELSA). This appointment,...

Nordic Funds Shortlisted for HFM European Awards

Stockholm (HedgeNordic) – With Intelligence has unveiled the list of shortlisted funds for the HFM European Awards 2023, with this year’s list featuring a...

Allocator Interviews


Most Popular This Week


Request for Proposal

- Advertisement -