Easy come, easy go.
Most commodity trading advisers, the computer-driven funds also known as managed futures funds or trend followers, suffered their third consecutive losing month in August after posting prolific results in the first quarter.
And no fund has experienced sharper monthly vacillations than the Mulvaney Global Markets Fund. The systematic long-term trend-following program dropped 20.1 percent in August, cutting its gain for the year to 67.47 percent, according to the firm’s August report, seen by Institutional Investor. This was its worst monthly loss since November 2021.
Mulvaney is still one of the top-performing hedge funds or CTAs in 2024. But it has now lost nearly half its prolific first-quarter gain of more than 124 percent.
The fund’s portfolio is made up primarily of agricultural, energy, metal, and financial futures, according to the firm’s website. More specifically, Mulvaney’s managed futures strategy, the Mulvaney Capital Global Diversified Program, invests in metals, energy, crops, livestock, currencies, interest rates, and stock indices.
August’s downturn was driven by stock indices, which contributed a 16.62 percent decline, the firm says. For the year, soft commodities are the star of the show, accounting for a 146 percent gain in overall performance.
Other CTAs also lost money last month, but not by the same magnitude as Mulvaney.
For example, the Tulip Trend Fund was down 9.4 percent in August and is up just 4.2 percent for the year, according to the fund’s August report, seen by II. The fund has lost money in each of the past four months after surging by more than 46 percent through April. August declines were driven mostly by the foreign exchange strategy, which accounted for a loss of 7.7 percent of net performance, per the monthly report. Most other major strategies were either down or up slightly.
“A massive unwinding of carry trades, instigated by the Bank of Japan, caused the fund a difficult start in August and left the program with significant losses in the currency markets,” the fund stated in the August report.
On the other hand, the fund enjoyed gains from longs in U.S. bond and VIX futures and, after initial losses, from longs in the U.S. stock markets. the letter noted. In commodities, the Tulip Trend Fund lost money on longs in vegetable oils and cattle and on shorts in lean hogs and palladium. It profited from shorts in U.S. natural gas, soybeans, and wheat, “and above all” from longs in coffee.
Meanwhile, the DUNN World Monetary & Agriculture Program lost 3.54 percent in August, cutting its gain for the year to 9.33 percent, according to its August report, seen by II. This was the program’s fifth consecutive monthly loss. The firm’s World Monetary & Agriculture Institutional Program — a one-half leverage version of the WMA strategy — declined by 1.73 percent in August, reducing its gain for the year to 5.49 percent.
The 100 percent systematic medium to long-term trend-following program trades in 66 different markets. The WMA fund noted in its recent monthly report that its net long position in fixed-income had steadily increased in the beginning of August, “ultimately becoming the most substantial exposure in the portfolio.” On the other hand, it “scaled back considerably” on net short exposure in agriculturals, which is now “practically tied” with net long stocks for the second-largest position in the portfolio. WMA holds smaller positions in net long currencies against the U.S. dollar, net long metals, and net short energies, and an even smaller short position in the VIX.
Elsewhere, the Aspect Diversified Fund dropped 3.79 percent last month and is now up 10.5 percent for the year, according to two sources, including a hedge fund database. Man AHL Diversified, for its part, was down 1.5 percent for the year through August.
Other funds, however, have been moving in a different direction of late.
For example, the Quantedge Global Fund rose less than 1 percent last month and is up 20.61 percent for the year, per a hedge fund database. The systematic quantitative investment strategy is diversified across multiple asset classes such as equities, bonds, commodities, currencies, and insurance-linked securities, according to the fund’s website.