Nordic CTAs Ride Bond Selloff to Another Strong Month

## KEY TAKEAWAYS - The NHX CTA Index delivered strong September performance driven by fixed income gains as global bond yields surged, with the 10-year U.S. Treasury yield reaching its highest level since 2007, exceeding 5.2 percent. - Trend-following managers dominated performance, with five Nordic CTAs—Calculo Altus, Estlander & Partners Alpha Trend, Lynx, Mandatum Managed Futures, and SEB Asset Selection—all posting gains led by profits in fixed income and energy markets. - Time-Series Momentum signals moved toward long-term average levels as renewed or continued trends emerged across fixed income and commodity markets, creating favorable conditions for systematic strategies. - Crude oil prices approached $110 per barrel on Middle East escalation and supply concerns, while U.S. equities sold off amid rising borrowing costs and AI investment slowdown warnings; U.S. dollar strengthened against the Japanese yen on Federal Reserve rate-hike expectations. - Non-trend-following managers delivered mixed results; short-term trading strategies showed divergent performance, with Lynx Constellation posting positive returns while Epoque declined due to soft commodity losses. ## DETAILED SUMMARY Nordic CTA managers extended their August momentum into September, capitalizing on a pronounced global bond selloff that created favorable trading conditions for trend-following strategies. The NHX CTA Index posted broad-based gains across managers and sub-strategies, with fixed income emerging as the primary driver of returns. The 10-year U.S. Treasury yield climbed above 5.2 percent—its highest level since 2007—reflecting market concerns over persistent inflation and the Federal Reserve's higher interest rate trajectory. The month's macro backdrop provided textbook conditions for systematic strategies. Time-Series Momentum signals, as tracked by RPM's Market Divergence Index (MDI), gradually converged toward long-term average levels as renewed trends took hold across fixed income and commodity markets. In equities, U.S. technology stocks declined amid a combination of rising oil prices, elevated borrowing costs, and public warnings from major AI companies about the necessity to moderate capital deployment. Foreign exchange markets saw the U.S. dollar strengthen notably against the Japanese yen in response to expected Federal Reserve rate increases. Commodity markets remained volatile and directional: crude oil approached $110 per barrel as Middle East tensions escalated with no apparent path to de-escalation, while soybean futures weakened following their exclusion from the U.S.-China tariff-reduction agreement. Performance was heavily concentrated in trend-following strategies. Calculo Altus, Estlander & Partners Alpha Trend, Lynx, Mandatum Managed Futures, and SEB Asset Selection all generated positive returns, with profits concentrated in fixed income and energy positions. Non-trend-following managers in the index also performed positively overall, though short-term trading strategies delivered mixed results: Lynx Constellation posted another profitable month, while Epoque ended September in negative territory, primarily from losses in soft commodities.