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Month in Review – June 2024

Report: Systematic Strategies

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Stockholm (HedgeNordic) – Despite June marking the end of a long streak of consecutive positive months, the Nordic hedge fund industry still achieved its best half-year performance ever. The Nordic Hedge Index edged down 0.3 percent in June, with equity hedge funds and CTAs dragging down performance. Nevertheless, the industry ended the first half of the year with a gain of 7.5 percent, marking the best half-year performance since the first half of 2009, when the industry advanced 6.7 percent on average.

Equity long/short, equity-long only, and CTAs all recorded losses in June. Conversely, fixed-income hedge funds extended their positive streak to 13 consecutive months, gaining 0.5 percent in June to end the first half of the year up 7.3 percent. The small group of multi-manager hedge funds gained an estimated 1.1 percent in June, bringing the half-year performance to 6.2 percent. Diversified funds, which include multi-asset, multi-strategy strategies along with niche strategies, rose 5.2 percent in the first six months of the year, with a marginal 0.2 percent increase in June.

Nordic systematic trend-following CTAs, macro and managed futures vehicles within the CTA category experienced an average decline of 0.8 percent in June but closed the first half of 2024 with a 13.5 percent gain. Notably, about 8.5 percent of this advance is attributable to the performance of Anna Fund, a Norwegian fund employing a momentum strategy on Bitcoin futures that advanced 141 percent in the first half of the year. Long-only equity managers with hedge fund-like characteristics, a category outside of the Nordic Hedge Index, experienced an average decline of 0.9 percent in June to end the first half of the year in positive territory at 13.6 percent. Meanwhile, long/short equity hedge funds were up 8.0 percent over the first half of the year despite an average decline of 1.3 percent in June.

The performance dispersion between the best- and worst-performing members of the Nordic Hedge Index narrowed month-over-month. In June, the top 20 percent of Nordic hedge funds achieved an average gain of 2.7 percent, while the bottom 20 percent incurred an average loss of 4.6 percent, representing a top-to-bottom dispersion of 7.3 percent versus 7.9 percent in May. In May, the top 20 percent recorded an average gain of 5.8 percent, with the bottom 20 percent experiencing a 2.1 percent loss. About three in every five funds with reported June figures posted gains last month.

Best Performers in June and YTD

Anna Fund, a Norwegian fund that employs a momentum strategy on Bitcoin futures, leads the performance charts with a surge of 142 percent in the first half of 2024. Founded by three Norwegian friends in mid-2023, Anna Fund uses inverse perpetual Bitcoin futures to execute its momentum strategy, focusing on capitalizing on Bitcoin’s fluctuations using price and volume data. Starting with assets just under NOK 50 million before the turn of the year, Anna Fund manages NOK 288 million at the mid-point of the year.

Three vehicles managed by Danish boutique fund manager Othania stood out as top performers in the Nordic Hedge Index last month. Othania Globale Aktier, Othania’s pure equity fund that dynamically shifts exposure between “offensive” and “defensive” equity exchange-traded funds (ETFs) based on market conditions, gained 5.2 percent in June, while Othania Allokering Verden advanced 4.8 percent. Operating on the same proprietary investment model as Othania Globale Aktier, Othania Allokering VERDEN allocates capital into equity or bond ETFs on a monthly basis. Othania’s fund of fund vehicle, Balanceret Makro, posted a gain of 3.6 percent in June.

Tech-focused long/short equity fund Thyra Hedge also ranked among the five best performers in June with an advance of 4.2 percent. Managed by Inge Heydorn, Thyra Hedge had a solid 2023 with an advance of 17.6 percent and continued its strong performance into the first half of 2024 with a 14.5 percent gain. HP Hedge Danish Bonds, managed by Danish fixed-income boutique HP Fonds, also delivered a solid June with a return of 4.0 percent, closing the first half of 2024 in positive territory at 6.8 percent.

Top Performing Long-Only Equity Funds

In September, HedgeNordic introduced a new sub-strategy category to the Nordic Hedge Index: Equity Long-Only (ELO). This category is home to funds that would fall short of qualifying as a hedge fund due to their long-only trading approach but exhibit habitual characteristics of a hedge fund strategy (e.g., leverage and derivatives usage, portfolio concentration, fee structure, a spin-off of a long/short strategy, and absolute return objectives, among others).

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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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