Key Takeaways
- • The NHX CTA Index gained 0.6% in June, delivering a 6.1% return for H1 2026, with performance driven primarily by U.S. dollar strength amid a hawkish Federal Reserve stance.
- • Time-series momentum conditions deteriorated significantly as measured by RPM's Market Divergence Index, with many financial market trends reversing and TSMOM falling below long-term averages.
- • U.S. equities posted their best quarter since 2020 despite June volatility, while oil prices declined nearly 20% (largest monthly drop since 2020) on speculation that a U.S.-Iran deal would reopen the Strait of Hormuz.
- • Nordic trend-following managers including Calculo Altus, Lynx, Mandatum Managed Futures, and SEB Asset Selection all posted gains, primarily from long positions in stock indices and FX markets.
- • Federal Reserve hawkishness compressed returns across commodities, with gold extending losses and wheat markets erasing May rallies as geopolitical risk premiums contracted.
Summary
The NHX CTA Index, which tracks Nordic managers employing managed futures, trend-following, and systematic macro strategies, gained 0.6% in June while posting a 6.1% return for the first half of 2026. Performance divergence across the strategy space was notable, with gains concentrated among managers positioned for U.S. dollar strength rather than broad trend-following opportunities. The strengthening dollar reflected a surprisingly hawkish stance maintained by the Federal Reserve, particularly in light of Fed Chair positioning at his first FOMC meeting.
Market conditions proved challenging for traditional trend-following approaches. Time-series momentum conditions, as measured by RPM's Market Divergence Index, fell below their long-term average as financial market trends reversed across multiple asset classes. In equities, June weakness drove the VIX higher amid concerns about rising U.S. interest rates and questions surrounding the durability of the AI boom, yet U.S. stocks still delivered their strongest quarter since 2020. Fixed income markets experienced sharp yield increases following a stronger-than-expected U.S. jobs report, which sparked market speculation that the Federal Reserve would raise rates later in 2026.
Currency and commodity markets provided the primary performance drivers for trend followers in June. The U.S. dollar continued its appreciation, particularly against the Japanese yen, bolstered by the Federal Reserve's hawkish messaging. Conversely, commodity prices faced persistent headwinds. Oil prices fell nearly 20% during the month—the largest monthly decline since 2020—driven by optimism regarding a potential U.S.-Iran agreement that could lead to reopening of the Strait of Hormuz. Gold extended its losses as investors responded to more hawkish Federal Reserve communications, while global wheat markets declined amid ample seasonal supplies and a significant contraction in geopolitical risk premiums that effectively reversed May's gains.
The sub-strategy composition of the NHX CTA Index reflected this environment. Most Nordic trend followers, including Calculo Altus, Lynx, Mandatum Managed Futures, and SEB Asset Selection, closed the month in positive territory, with returns driven primarily by gains in stock indices and FX markets. This concentration of gains in equities and currencies rather than commodities underscores the divergence between traditional momentum-following conditions and the current factor environment favoring directional dollar strength over broad-based trend capture.
Market conditions proved challenging for traditional trend-following approaches. Time-series momentum conditions, as measured by RPM's Market Divergence Index, fell below their long-term average as financial market trends reversed across multiple asset classes. In equities, June weakness drove the VIX higher amid concerns about rising U.S. interest rates and questions surrounding the durability of the AI boom, yet U.S. stocks still delivered their strongest quarter since 2020. Fixed income markets experienced sharp yield increases following a stronger-than-expected U.S. jobs report, which sparked market speculation that the Federal Reserve would raise rates later in 2026.
Currency and commodity markets provided the primary performance drivers for trend followers in June. The U.S. dollar continued its appreciation, particularly against the Japanese yen, bolstered by the Federal Reserve's hawkish messaging. Conversely, commodity prices faced persistent headwinds. Oil prices fell nearly 20% during the month—the largest monthly decline since 2020—driven by optimism regarding a potential U.S.-Iran agreement that could lead to reopening of the Strait of Hormuz. Gold extended its losses as investors responded to more hawkish Federal Reserve communications, while global wheat markets declined amid ample seasonal supplies and a significant contraction in geopolitical risk premiums that effectively reversed May's gains.
The sub-strategy composition of the NHX CTA Index reflected this environment. Most Nordic trend followers, including Calculo Altus, Lynx, Mandatum Managed Futures, and SEB Asset Selection, closed the month in positive territory, with returns driven primarily by gains in stock indices and FX markets. This concentration of gains in equities and currencies rather than commodities underscores the divergence between traditional momentum-following conditions and the current factor environment favoring directional dollar strength over broad-based trend capture.
Go deeper than the headline
Research every firm in this story, track the ones that matter and get the daily briefing — free for 7 days.