The Mulvaney Global Markets Fund lost 6 percent in June.
Still, the systematic long-term trend-following program was up 134.33 percent in the first half of the year, remaining not only the top-performing commodity trading advisor this year, but perhaps the top-performing hedge fund altogether. And despite last month’s decline, it was up about 10 percent in the second quarter, a volatile period that saw many other CTAs and trend followers lose money, in several cases substantial amounts.
Mulvaney’s portfolio is primarily made up of agricultural, energy, metal, and financial futures, according to the firm’s website. Mulvaney’s managed futures strategy, Mulvaney Capital’s Global Diversified Program, invests in metals, energy, crops, livestock, currencies, interest rates, and stock indices. Not only is it uncorrelated to equities and most alternative-asset classes, it also has a negative correlation to the major stock indices, a hedge fund database shows.
Soft commodities primarily drove performance in the first half of this year, accounting for 137 percentage points of gross gains. Stock indices kicked in about 34 percent. Losses were spread out among the fund’s various strategies.
Other CTAs, however, lost money in the second quarter. For example, Aspect Capital’s flagship fund was up 14.27 percent in the first half of the year, though down more than 5 percent in the second quarter, according to someone who has seen the results.
Last month, Institutional Investor reported that Aspect’s 2024 returns through May were 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.
Other funds fared much worse in June. The Tulip Trend Fund, for one, was down about 10 percent for the month and approximately 12 percent in the second quarter, cutting its gain for the year to 27.8 percent, the firm says. Its trend strategy “provides access to directional trading strategies across a highly diversified global portfolio of futures, forwards, and swaps,” according to fund documents seen by II.
“In June, election-driven market moves caused significant losses for the fund,” the firm’s June client report explains. “General elections in Mexico caused losses on longs Mexican peso.” The firm added that the unexpected announcement of elections in France triggered a European risk-off move, causing losses on long positions in Eastern European currencies. Changes to monetary policy led to losses on short positions in North American interest rate instruments and profits on yen shorts. In addition, falling grain and oilseed prices were behind losses on long positions in wheat and profits on the fund’s corn shorts, according to the client report.
The Quantedge Global Fund lost nearly 6 percent in the second quarter, finishing the first half of the year up 17.1 percent, according to HSBC.
Dunn Capital Management’s World Monetary & Agriculture Program gave back more than half its gains in the second quarter, finishing the period up 15.89 percent after surging nearly 34 percent in the first quarter, per the firm’s email communications with clients. The program is a systematic medium- to long-term trend follower, encompassing a portfolio of financial, energy, metal, and agricultural futures markets. It trades 66 markets, with agriculture-related investments accounting for 20 percent of risk, followed by long-term interest rates (18 percent) and stock indices (16 percent), according to the firm’s June report.