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Calculo’s Five-Year Trend-Following Journey in Commodities

Report: Systematic Strategies

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Stockholm (HedgeNordic) – Over the past five years, financial markets have experienced significant ups and downs, influenced by a mix of economic trends, geopolitical events, a once-in-a-lifetime pandemic, and central bank policies. Specifically, the final quarter of 2018, the first quarter of 2020, and the entirety of 2022 posed significant challenges for many investors. However, Calculo Evolution Fund, a commodity-focused trend-following fund, has demonstrated resilience throughout all these episodes to reach its five-year anniversary on August 1 this year.

“The journey has been interesting, with many events putting the capability of the trading strategy to the test, including the Covid-19 shutdown, oil trading negative, the conflict in Ukraine, to mention the major events,” summarizes Philip Engel Carlsson, founder of Calculo Capital. “It is not the easiest task being a smaller manager and at the same time also running a rather complex product for many investors,” acknowledges the founder. “The true qualities of the fund go beyond just the percentage return. We are very low volatility (risk) and almost completely uncorrelated with other asset classes. This makes our fund a true risk diversifier for most investment portfolios.”

“The journey has been interesting, with many events putting the capability of the trading strategy to the test…”

Launched on August 1 in 2018, Calculo Evolution Fund has delivered an annualized return of 4.1 percent with a standard deviation in returns of 6.5 percent and a maximum drawdown of 6.7 percent over these five years. The fund has exhibited a correlation of just 0.01 with the MSCI World, a negative correlation of 0.09 with the Vanguard Total Bond Index, and a low 0.29 correlation with the SG CTA Index. “Overall, we are very pleased with the overall fund performance,” Carlsson tells HedgeNordic. “Due to the nature of being a CTA fund, we have fallen victim to negative interest rates on our cash balance, which is around 90 percent of our total assets under management,” he explains. “Adding the negative interest rates, we come out of 2022 with just below our seven percent annualized return goal. Fortunately, this negative interest situation is now no longer an issue.”

“The true qualities of the fund go beyond just the percentage return.”

Calculo Evolution Fund gained 15.1 percent in the volatile commodity markets of 2022, driven by a slew of factors such as rising inflation, recession concerns, and war-related disruptions to markets for critical raw materials. The fund’s performance earned recognition from the Hedge Fund Journal as the best-performing systematic CTA with a commodity focus in 2022. “Receiving this recognition on the cusp of our five-year anniversary is the icing on the cake for us, and truly underpins our value add,” says Carlsson.

Carlsson has designed a systematic investment strategy that captures smaller, shorter-term trends within larger trends across commodity markets. The trend-following fund trades the most liquid commodities, spanning energy, metals, agricultural commodities and softs such as coffee, cocoa, and sugar, among others. Additionally, Carlsson relies on artificial intelligence to predict price reversals and actively manage positions in the portfolio. In early 2023, Calculo Capital launched a higher-risk, higher-return version of its Calculo Evolution Fund. “Our 2x strategy has seen good interest and is now our largest product,” Carlsson reveals. “We are also considering additional product launches to match the needs of our investors.”

“Our product has great growth potential,” concludes Carlsson. “In an investment climate with great uncertainty, now might be the time to not only look at expected return but also on access to capital and risk diversification,” he continues. “We, therefore, look positively on the next five years for Calculo.”

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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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