Key Takeaways
- • The Lyxor Epsilon Global Trend Fund, managed by Metori Capital, significantly outperformed CTA benchmarks in 2020 despite widespread sector reversals in foreign exchange, commodities, and equities markets.
- • CTA strategies broadly underperformed during market reversals in September and Q3 2020, with the broader CTA industry reporting losses while the Epsilon Global strategy maintained positive performance.
- • Lyxor's systematic managed futures approach demonstrated resilience against trend-reversal events that typically disadvantage traditional trend-following hedge fund strategies.
Summary
The Lyxor Epsilon Global Trend Fund, Metori Capital's systematic managed futures strategy, delivered robust performance in 2020 relative to industry peers as commodity trading advisor (CTA) strategies faced headwinds from sharp market reversals. While trend-following hedge funds across the industry struggled with rapid directional shifts in foreign exchange, commodities, and equity markets, the Epsilon Global strategy remained substantially ahead of CTA benchmarks through the reporting period.
The broader CTA industry encountered significant performance challenges, particularly during the second half of 2020 when markets reversed sharply on economic weakness. The reversal dynamics proved especially damaging across soft commodities, energy sectors, and fixed income markets—asset classes where traditional trend-following strategies typically maintain meaningful exposure. In September alone, CTA strategies underperformed by 2.1 percent according to data compiled by Lyxor, reflecting losses accumulated across multiple asset classes simultaneously.
Metori Capital's Epsilon Global strategy distinguished itself through superior risk management and systematic positioning during these volatile periods. The fund's long-standing track record as a managed futures vehicle positioned it to weather the market dislocations that caught many trend-following peers off guard. By continuing to deliver positive returns while industry benchmarks declined, the strategy demonstrated the value of diversified systematic approaches to trend identification and execution across global markets.
The broader CTA industry encountered significant performance challenges, particularly during the second half of 2020 when markets reversed sharply on economic weakness. The reversal dynamics proved especially damaging across soft commodities, energy sectors, and fixed income markets—asset classes where traditional trend-following strategies typically maintain meaningful exposure. In September alone, CTA strategies underperformed by 2.1 percent according to data compiled by Lyxor, reflecting losses accumulated across multiple asset classes simultaneously.
Metori Capital's Epsilon Global strategy distinguished itself through superior risk management and systematic positioning during these volatile periods. The fund's long-standing track record as a managed futures vehicle positioned it to weather the market dislocations that caught many trend-following peers off guard. By continuing to deliver positive returns while industry benchmarks declined, the strategy demonstrated the value of diversified systematic approaches to trend identification and execution across global markets.
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