Mulvaney Global Markets Fund Continues Hot Streak

A number of CTAs and trend followers are among the top performers this year.


Illustration by II

Now this is what you call uncorrelated returns.

Paul Mulvaney’s Mulvaney Global Markets Fund posted a 6.31 percent gain in May. As a result, the systematic long-term trend–following fund is up a hard-to-believe 149.3 percent over the first five months of the year, according to the firm’s latest monthly report, seen by Institutional Investor.

Although no other hedge fund comes close to matching this astounding return, several other commodity trading advisors and trend-following funds have also seen huge jumps this year even after suffering losses in May. Many are up by double-digit rates.

The computer-driven strategy is known for its noncorrelation to the stock market. It has enjoyed its best years during market meltdowns and declined at times when stocks are surging.

The stock market is up this year by low-double-digit rates, but a number of CTAs and trend followers are easily beating the major equity indices. The best example, of course, is Mulvaney. The road to its nearly 150 percent gain included 45 percent and 51 percent gains in February and March, respectively.

The fund’s portfolio is made up primarily of agricultural, energy, metal, and financial futures, according to the firm’s website. The managed futures strategy, the Mulvaney Capital Global Diversified Program, invests in metals, energy, crops, livestock, currencies, interest rates, and stock indices.

According to the firm’s May monthly report, increases were driven mostly by stock indices and metals. For the year, soft commodities kicked in nearly 138 percent of gross gains. Stock indices added almost 30 percent.

Elsewhere, the Tulip Trend Fund sank by 4.9 percent last month but is still up 41.2 percent for the year, according to the HSBC database. Its trend strategy “provides access to directional trading strategies across a highly diversified global portfolio of futures and forwards,” according to a hedge fund and CTA database.

DUNN Capital Management’s World Monetary & Agriculture Program lost 7.47 percent in May, cutting its gain for the year to 21.73 percent, the firm’s monthly report says. The firm’s World Monetary & Agriculture Institutional Program — a one-half leverage version of the WMA strategy — dropped 3.8 percent last month but is up 10.7 percent for the year, according to the firm.

DUNN told clients in its monthly report, seen by II, that May performance was driven primarily by moderate losses in energy, agriculturals, and currencies. There were also small losses in fixed income and stocks and small gains in metals and volatility.

“Net short fixed income continues to be the most substantial position in the portfolio,” DUNN said in the report. Long metals and long equities — “following not too far behind” — are about tied for the second-largest position. DUNN also noted that exposures in net short agriculturals and net short currencies against the U.S. dollar, as well as net long energies, are all of similar, moderate size.

The Quantedge Global Fund, for its part, is up 17.1 percent for the year, according to a hedge fund database.

The Aspect Diversified Fund dropped about 4 percent in May but is still up nearly 17 percent for the year, per HSBC. Aspect’s 2024 returns have been generated by a wide array of markets. Agriculturals, currencies, and stocks have “all contributed meaningfully” to performance, said Razvan Remsing, director of investment solutions, in an email. “Both the trend and nontrend models have made gains, and the most rewarding opportunities have come from some of the longer-term models, with short-term models being less effective.” He noted that the portfolio was positioned for “higher for longer” in fixed income — a small net short across bonds and rates.

Aspect has also made money in Japan with long positions in the Topix and the Nikkei as well as by shorting the currency. “Japan’s economy has been rejuvenated by the return of inflation, finally after several decades, hence the equity rally,” Remsing said in the email. “On the other hand, a fairly accommodative central bank policy, relative to other majors, has hurt the yen, thus presenting good trend opportunities for our strategy.”

In agriculturals, cocoa contracts were “a source of significant drivers of performance.” Remsing said the strategy allocated risk to cocoa contracts traded in New York and London. However, it has been “systematically selling/trimming” the long positions for most of this year, effectively selling into the rally, “thus reducing risk and monetizing gains,” he explained.

Elsewhere, Man Group’s AHL Diversified is up 14.7 percent for the year after losing 3.1 percent in May.