Commodity trading advisors have been standout performers in the first two months of the year, which has been marked by unusual volatility in many global markets.
Although the IASG CTA Index increased by about 2 percent in February and 4.8 percent for the year, many of these funds — also known as managed futures — were up by high single digits, with others surging by double-digit rates. Of course, this performance predates the Iran war, which added to already-volatile markets and has had a big impact on stocks and the price of oil.
CTAs are systematic funds that seek to ride trends in a wide variety of liquid markets and generally have little or no correlation to the broad stock market.
Perhaps the top performer over the first two months was the Mulvaney Global Markets Fund, a small, historically volatile long-term trend follower. It jumped roughly 21 percent in February and is up more than 56 percent heading into March, according to a CTA database.
The Quantedge Global Fund added about 13 percent in February and more than 23 percent over the first two months.
The Tulip Trend Fund picked up 8.7 percent in February, bringing its gain for the year to 16.2 percent. “All asset classes made a net positive contribution, although each also contained losing positions,” per its February monthly letter. The largest profits came from longs in gold and global stock markets, shorts in cocoa, and synthetic interest rate combinations, the fund noted. The letter noted that the positive contribution from hybrids stemmed mainly from positions in commodities trades against currencies other than the U.S. dollar.
The largest losses resulted from longs in European emission allowances; shorts in soybeans, including soybean meal; and shorts in emerging-markets Asian currencies, the report added. Through the first two weeks of March, the fund was down 5.42 percent, the firm says.
DUNN Capital Management’s World Monetary & Agriculture Program gained 6.46 percent in February and 14.25 percent for the year, according to the firm’s monthly report. The World Monetary & Agriculture Institutional Program — a one-half leverage version of the WMA strategy — climbed 3.24 percent last month and 7.96 percent for the year.
The funds’ performance was driven by moderate to small gains across all sectors, except for a small loss in agriculturals, the firm reports. WMA is a systematic medium- to long-term trend-following program. Heading into March, the firm said the most substantial exposure was long stocks, “where all markets within the sector remain directionally aligned.” In addition, it held “moderately sized positions” in long metals, net long energies, and net long currencies against the U.S. dollar, with smaller positions in net long fixed income and net long agriculturals. Altogether, DUNN trades 65 different markets.
Elsewhere, Crabel Advanced Trend rose 6.4 percent in February and is up about 17 percent for the year. It is designed to capture long-term trend-following returns across a diverse set of global futures and foreign exchange instruments.
Drury Capital’s Diversified Trend-Following Program gained 8.35 percent in February and is now up 13.12 percent for the year. The trading program targets net performance of 20 percent annually with volatility of 17 percent. So far, it has not achieved that goal, having lost 19.7 percent last year and 10.3 percent in 2023, its first year of trading, according to a CTA database.
The Aspect Diversified Fund jumped 5.42 percent last month and was up 9.61 percent for the year.
Transtrend’s Diversified Trend Program–Enhanced Risk was up 3.63 percent in February and 7.31 percent for the first two months of the year.
