Several previously high-flying CTAs suffered another setback last month. Also known as trend-following funds, many are nevertheless enjoying solid years.
Most significant: the Mulvaney Global Markets Fund, which lost 10.55 percent in July. This was its worst monthly loss since November 2022, a very rough month for most CTAs in general. Even so, it is up 109.61 percent for the year, perhaps maintaining its status as this year’s top-performing fund. It was up more than 149 percent through May.
Currency trading was responsible for more than half of the July loss, according to Mulvaney’s monthly fact sheet, seen by Institutional Investor. Livestock and, to a lesser extent, interest rates accounted for most of the rest of the decline.
Year-to-date, soft commodities were responsible for the bulk of gains, kicking in nearly 142 percent to gross performance. Stock indices contributed nearly 33 percent.
Mulvaney had big gains in February and March of 45.4 percent and 51 percent, respectively.
Elsewhere, the Tulip Trend Fund lost 10 percent in July, its third consecutive monthly decline. As a result, it is up just 15 percent for the year even after posting a roughly 46 percent gain through April. The trend-based trading fund actually enjoyed a strong start in July. Most of the losses came from trend reversals or strong price reactions in the currency markets, according to the fund’s monthly commentary. The fund was especially hurt by the program’s shorts of the Japanese yen, and by short positions in the Chinese renminbi and other emerging Asian currencies.
The fund report also noted that declines in the commodity markets caused losses on longs in oil markets and industrial metals. “But these were more than offset by profits on shorts in natural gas and, above all, grains,” the report added.
DUNN Capital Management’s World Monetary & Agriculture Program was down 2.19 percent in July, cutting its gain for the year to 13.35 percent, according to the latest monthly client report. WMA Institutional — the half-leverage version of the WMA strategy — lost 0.82 percent last month, trimming the year’s rise to 7.34 percent, per the report.
DUNN told clients that it dialed back exposure in July when one of its key indicators detected an increase in volatility and a reduction in signal strengths and correlations. The firm noted that net short agriculturals continue to be “the most substantial exposure” in the portfolio, followed by net long stocks. Fixed income and metals are moderately sized, net long positions.
It added that exposure to energies flipped to net short and currencies against the U.S. dollar flipped to net long. WMA is a 100 percent systematic medium- to long-term trend-following program.
Other CTAs, however, managed to make money in July. For example, the Quantedge Global Fund gained 2.43 percent for the month and is up 19.93 percent for the year, says HSBC.
The Aspect Diversified Fund rose less than 1 percent last month, totaling a 14.85 percent increase for the year, according to a hedge fund database. It was up nearly 21 percent at the end of April.