Dear all,
Some trend following CTAs like Mulvaney Capital and Progressive Capital Partners are absolutely killing it in 2024.
Pls see the article below for more info. (also attached is the article from Bloomberg).
Regards
James
February was a banner month for some of the industry's biggest trend-following funds
Mar 14, 2024, 8:41 PM GMT+8
- Several large CTA funds had big months, including from AQR, Man Group, and more.
- These trend-following funds use futures contracts to track market momentum.
CTAs have momentum this year.
AQR, run by billionaire Cliff Asness, made 7.9% in its $1.5 billion Managed Futures strategy, according to the firm's website. The Connecticut-based manager did not respond to requests for comment.
Man Group's $6 billion AHL Dimension fund and $5.4 billion AHL Evolution fund returned 4.8% and 5.6% respectively for the month through February 23, according to HSBC's weekly report. London-based Systematica, the $17 billion quant firm run by former BlueCrest executive Leda Braga, was up 6.4% in its Bluetrend through February 23, the same report notes.
The two UK asset managers declined to provide figures for the entire month.
Smaller shops also performed well. Aspect Capital, a London-based manager with roughly $8 billion in total assets, was up 8% in its Aspect Diversified strategy last month, a person close to the firm tolkd Business Insider. This brought the strategy's year-to-date returns to 13.5%.
Meanwhile, 25-year-old CTA manager Mulvaney Capital made 45% in February alone, according to a recent Bloomberg article. The firm, run by former Merrill Lynch investor Paul Mulvaney, benefited from a strong equities market last month as well as "sharp moves" in different commodities, the article said.
Swiss asset manager Progressive Capital Partners runs a CTA known as the Tulip Trend Fund, with roughly $150 million in assets. The strategy was up 19.3% in February, fueling a 29.6% rise in 2024 through February.
"The month was exceptionally rich in different trends in different markets. This led to solid profits in currency, equity and energy markets, while the biggest profits came from positions in agriculture markets via longs and shorts."
Trend-Chasing Quants Roar Back on Wall Street as Gains Reach 45%
- SocGen’s trend index enjoys best start to a year since 2008
- Mulvaney, DUNN and AQR enjoy a bumper Feb. as equities soar
March 13, 2024 at 9:40 PM GMT+8
Trend-following quants are soaring once again on Wall Street, posting their best start to a year since 2008, thanks to relentless stock market gains and sharp moves across the commodity complex.
Winners like Mulvaney Capital Management Ltd., founded by a former Merrill Lynch options trader, have notched a 45% gain in February alone by riding strong trends in niche markets such as agriculture, while equities have soared day in, day out amid the artificial-intelligence euphoria. It’s a similar story for DUNN Capital Management LLC, whose flagship $930 million fund has jumped a bumper 31% this year, according to a person familiar with the matter.
Fueled by the latest advance in global shares
, AQR Capital Management LLC enjoyed its second-best month on record in February across at least three trend-following strategies.
The diversified cohort, known as commodity trading advisers, typically ride the momentum of futures markets of all stripes to harness the wisdom of the investing crowd. While trend-following funds come in all shapes and sizes with various allocation horizons, an index compiled by Societe Generale SA shows the strategy eked out a 7.7% return over the first two months of the year. That’s the best run since 2008, according to data since 1999.
All this is a tentative reprieve from the sharp market regime shifts over the past year that challenged this breed of systematic hedge fund.
“There are just good trends happening across the board,” said James Dailey, Chief Executive Officer of DUNN. “CTAs have done particularly well when equities have done really well and when they have done really bad.”
DUNN’s World Monetary and Agriculture Program reaped a 19.6% gain in February by riding the Big Tech-driven equity rally and one-way trends in agricultural commodities, from cocoa to grain.
With CTAs’ equity exposure in the 70th percentile over the past decade, “there is still room to increase long positions should the equity rally continue,” said Sandrine Ungari, head of cross-asset quant research at the French bank.
Meanwhile Connecticut-based AQR’s Managed Futures Strategy Fund returned 7.9% in February, while its Managed Futures Strategy Higher Volatility Fund — which uses leverage to target higher volatility — netted 12%. Both strategies benefited from long exposure in stock indexes, particularly in Japan and the US.
“We’re seeing trend following work well across virtually almost all the asset classes that we pursue,” said Yao Hua Ooi, principal at AQR.
Buoyed by big moves in soft commodities, Paul Mulvaney reckons the best days for trend following are still to come. His $360 million firm has just seen its second-best month of performance since he founded it in 1999.
Cocoa futures, for instance, saw the biggest monthly advance in February in more than two decades, as bad weather and disease hit crops. Raw sugar futures tumbled last month on expectations of robust supply, while soybean prices were undermined by signs of lackluster Chinese demand.
“This is the best environment for trend following in over 40 years,” said Paul Mulvaney. “Economic and geopolitical shocks have set hares running and, regardless of the official inflation numbers, we’re still seeing it manifest in various futures prices.”
