Key Takeaways
- • The RPM Evolving CTA Fund delivered a 23% return in 2022, marking its best performance since inception in 2013, capitalizing on the managed futures strategy's strong performance during market dislocation.
- • The SG CTA Index, tracking the 20 largest managed futures hedge funds, returned 18% in 2022—its strongest year since inception in 2000—as CTAs generated significant crisis alpha while global equities posted their worst year since 2008.
- • Managed futures strategies profited from both equity market declines and bond market stress in 2022, as trend-following models systematically captured losses in both asset classes that typically comprise traditional 60/40 portfolios.
- • RPM Risk & Portfolio Management AB, the Stockholm-based manager of the fund established in 1993, oversees approximately $1.4 billion in assets under management and advisory, with Per Ivarsson serving as Chief Investment Officer.
- • The outsized CTA performance in 2022 underscores the category's historical role as a portfolio diversifier during financial crises, though CTA specialists face structural challenges in marketing the strategy during extended bull market periods when trend-following underperforms.
Summary
The RPM Evolving CTA Fund, a multi-manager fund employing a core trend-following strategy, generated a 23% return during 2022, delivering its strongest annual performance since the fund's 2013 launch. This result exemplifies broader strength in the managed futures category, as the SG CTA Index—which comprises the 20 largest managed futures hedge funds—advanced 18% in 2022, marking its best year since the index's inception in 2000.
The 2022 performance reflects managed futures' historical advantage during periods of financial market dislocation. While the MSCI World Total Return Index declined sharply last year in what represented the worst performance for global stocks since 2008 and the fourth worst on record, CTA strategies generated what the industry terms "crisis alpha" by profiting from systematic trend-following approaches as both equity and fixed-income markets entered distressed conditions. According to Mikael Stenbom, founder and CEO of RPM, the psychological burden of CTA management lies in the asymmetry of market narratives: "More than half of the time you must explain why trend following is not dead. Then, when managed futures finally generate uber-performance you cannot be too cheerful either as everybody else typically feels miserable."
RPM Risk & Portfolio Management AB, established in Stockholm in 1993, manages approximately $1.4 billion in assets under management and advisory. The firm structures its offerings around multi-CTA exposure, positioning trend-following strategies as portfolio ballast during market crises while acknowledging that such periods typically coincide with broader investor distress. Per Ivarsson, the firm's Chief Investment Officer, is scheduled to present on the current state of hedge fund alpha generation at an upcoming Opalesque webinar on February 9th. The 2022 results demonstrate that managed futures continue to deliver meaningful diversification benefits during economic turning points, even as the strategy faces persistent headwinds during extended periods of economic stability.
The 2022 performance reflects managed futures' historical advantage during periods of financial market dislocation. While the MSCI World Total Return Index declined sharply last year in what represented the worst performance for global stocks since 2008 and the fourth worst on record, CTA strategies generated what the industry terms "crisis alpha" by profiting from systematic trend-following approaches as both equity and fixed-income markets entered distressed conditions. According to Mikael Stenbom, founder and CEO of RPM, the psychological burden of CTA management lies in the asymmetry of market narratives: "More than half of the time you must explain why trend following is not dead. Then, when managed futures finally generate uber-performance you cannot be too cheerful either as everybody else typically feels miserable."
RPM Risk & Portfolio Management AB, established in Stockholm in 1993, manages approximately $1.4 billion in assets under management and advisory. The firm structures its offerings around multi-CTA exposure, positioning trend-following strategies as portfolio ballast during market crises while acknowledging that such periods typically coincide with broader investor distress. Per Ivarsson, the firm's Chief Investment Officer, is scheduled to present on the current state of hedge fund alpha generation at an upcoming Opalesque webinar on February 9th. The 2022 results demonstrate that managed futures continue to deliver meaningful diversification benefits during economic turning points, even as the strategy faces persistent headwinds during extended periods of economic stability.
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