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CTAs Struggle Amid Reversals, Non-Trend Strategies Hold Up

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In February 2025, the NHX CTA index was down due to losses in soft commodities, energies, and bonds as markets reversed forcefully on gloomy economic data during the second half of the month. Performance was in line with other CTA benchmarks. While results varied across managers and sub-strategies, diversifying non-trend-following managers delivered positive returns on average.

Last month, Time Series Momentum (TSMOM) as measured by RPM’s Market Divergent Index (MDI) first surged to above-average levels due to bullish trends in financial markets. However, towards month-end, TSMOM slumped as those trends reversed forcefully on gloomy economic data. During the first half of the month, global stock indices rose to new record highs. In particular, European equities rallied, significantly outperforming US stocks, on doubts that the Trump administration would follow through with its tariff threats and on prospects of higher military spending in the region. Then, equity markets reversed forcefully with US stocks falling the most in two months due to a series of gloomy economic data and stubbornly high inflation figures. 

In fixed income and FX, trends also reversed with the US dollar slipping and Treasuries rallying as investors started to take a more bearish view on the economic fallout from the new US administration’s global trade war. In commodities, oil prices fell amid trade and tariff concerns alongside a US-driven push for a peace deal between Russia and Ukraine. Gold surged to new record highs on geopolitical turmoil, a weaker dollar, and inflation concerns amid the insane tariff drama. Elsewhere, coffee prices reversed much of their recent record highs due to improving weather conditions in Brazil and the impact of high prices on global demand. Cryptocurrency prices surged to new record highs after President Donald Trump announced the inclusion of select tokens in the US crypto strategic reserve.

Sub-Strategies and Constituents in the NHX CTA Index

Most trend-following managers in the NHX CTA Index were down in February. Calculo Evolution Fund, Estlander & Partners Alpha Trend, Lynx, and SEB Asset Selection all ended the month in negative territory, mainly due to losses in softs and bonds. In contrast, Mandatum Managed Futures Fund gained 1.7 percent, benefiting from its lack of exposure to commodity markets. Meanwhile, the Bitcoin-focused trend-follower Anna Fund surged 9.2 percent, helping lift the group’s average performance for the month.

Non-trend managers delivered mixed results but ended the month positive on average. Among shorter-term trading strategies, Arden xFund, Epoque, and Lynx Constellation posted gains, primarily driven by profits in stock indices. In the macro and multi-strategy segment, Volt Diversified Alpha Fund declined, weighed down by losses in energy markets, while Lynx Systematic Macro and Estlander & Partners Freedom also ended the month in negative territory. Meanwhile, the multi-manager program RPM Evolving CTA Fund saw losses, as its underlying managers suffered significant losses in soft commodities, energies, and fixed income.

Outlook

From a macro perspective, the US economy is now showing serious signs of weakness as trade war concerns are weighing on consumer and investor confidence. With inflation remaining uncomfortably high, the Fed is expected to keep rates unchanged at its next FOMC Meeting on March 18th though. For now, the market direction is unclear.

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Alexander Mende
Alexander Mende
In 2025, Alexander Mende, PhD., became the Chief Investment Officer at RPM Risk & Portfolio Management AB. RPM is an investment manager providing customized multi-manager solutions in Managed Futures strategies based on managed account platforms. RPM has been active in the Managed Futures space since 1993 serving clients primarily in Asia and Central Europe and is located in Stockholm, Sweden. Alexander attained his doctorate (PhD) in economics at the University of Hanover, Germany, before joining RPM back in 2005. His research interests include the areas of FX trading, international finance, portfolio management, and alternative investments, in particular managed futures and trend following.

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