Stockholm (HedgeNordic) – Following a third consecutive month of losses for both stocks and bonds in October, trend-followers entered November with short exposure to both markets. However, they were wrong-footed in November as stocks rebounded and bond yields tumbled, prompted by the Federal Reserve and other central banks signaling a possible end to the current cycle of rising interest rates. In contrast, Mandatum Managed Futures Fund stood out by successfully capturing trends in both November and so far in December.
Utilizing machine learning algorithms that select the optimal combination of momentum-based models for a given environment, Mandatum Managed Futures Fund recorded a 4.3 percent gain in November and an additional 4.2 percent month-to-date through the end of last week. “In November, our fund achieved a solid return, showcasing our ability to navigate market shifts,” says portfolio manager Ville Rantanen. “We attribute this success to our strategic use of a diverse set of models, and ability to allocate dynamically between models of varying speeds and logics.”
“In November, our fund achieved a solid return, showcasing our ability to navigate market shifts.”
The fund’s monthly letter to investors for November highlighted the positive impact of investments in interest and stock markets on the return, while foreign exchange investments had a slightly negative effect. “Market interest rates fell sharply in November due to the slowdown in inflation. This also had a positive effect on the return on the stock market,” says the letter. The fund’s average exposure to equities was around 48 percent in November, rising to 110 percent by month-end. The letter suggested that if the positive development in stock and interest markets continues, the fund may maintain a substantial weight in these asset classes in December. This exposure played a role in Mandatum Managed Futures Fund’s performance in the first week of December, achieving a 4.2 percent gain month-to-date.
“Unlike traditional approaches, our unique return profile is shaped by a dynamic risk-taking combined with regime change detection models.”
“Unlike traditional approaches, our unique return profile is shaped by a dynamic risk-taking combined with regime change detection models,” explains Rantanen. “This approach allows us to capitalize on emerging opportunities, setting us apart in the CTA fund landscape.” Mandatum Managed Futures Fund indeed sets itself apart from the broader CTA landscape, with the fund exhibiting a correlation of only 0.4 with the SG CTA Index, which tracks the performance of the world’s largest trend-following CTAs.
After three consecutive years of positive performance since its December 2019 launch, with gains of 10.4 percent in 2021 and 11 percent in 2022, Mandatum’s managed futures vehicle experienced a 4.4 percent decline year-to-date through the end of last week. The year-to-date decline was trimmed after an 8.8 percent advance since the end of October.
