Campbell Reboots Long-Running Multistrategy Fund

With CTA strategies disappointing investors, the quantitative manager has given its absolute return strategy a makeover and a coming-out party.

Illustration by II

Illustration by II

Campbell & Company, a 45-year-old, multi-style quantitative manager with one of the longest track records in the category, has overhauled and is now relaunching its Campbell Absolute Return strategy, according to people familiar with the offering.

In 2014, Campbell changed the balance of strategies in the multistrategy product — which was previously dominated by a trend-following strategy — and incubated it with friends and family money. With four years of performance information validating the fund’s new approach, Campbell’s formal relaunch will offer beneficial pricing in the form of a founder’s fee structure to outside investors, according to the people familiar with the launch, although details of the fees couldn’t be determined by the time of publication.

The Campbell fund includes a range of strategies — including quantitative equities, short-term trend following, and systematic macro styles — that are meant to be uncorrelated to the broader equity markets. The move comes as trend-following strategies have delivered a run of disappointing returns.

According to BarclayHedge, a database of hedge funds, trend-following funds have returned 4.5 percent year to date, on average. These funds have underperformed in part because, with interest rates essentially at zero owing to loose monetary policy since the financial crisis, there has been little dispersion in the market, which these funds need to make money.

As a result, some of the biggest managers have gravitated toward longer-term strategies and have not been able to be as responsive to market moves.


[II Deep Dive: Last Month Was Rough for CTAs, Trend Followers]

But in light of the long-running bull market for equities, some investors are now turning to quant managers that can also effectively incorporate macro thinking into their strategies.

“Given the length of the current bull market, investors are increasingly attracted to absolute return offerings that provide exposure to a diversified set of lowly correlated quant strategies,” said Kevin Cole, chief research officer at Campbell. “Their goal is twofold: boost diversification in their portfolios and get exposure to strategies underpinned by innovative research processes.”

A Campbell spokesman declined to comment specifically on the launch.

In 2014, Campbell overhauled the fund’s asset allocation, which was dominated by trend following, to be better aligned with an absolute return objective. To do that, the fund now has a better balance between its multiple strategies. Since 2014, the fund has returned almost 9 percent annually, according to the people familiar with the fund.

The sources said Campbell is also aiming to differentiate its fund, through performance, from increasingly popular and low-cost alternative beta strategies. Alternative beta strategies mimic similar actively managed hedge funds, aiming to deliver the same returns at lower cost.