Key Takeaways
- • Quantedge Global Fund surged 8.3% in September and is up 29.36% year-to-date, leading a broad rebound in commodity trading advisors (CTAs) and trend-following hedge funds that snapped a multimonth losing streak following the Federal Reserve's 50-basis-point rate cut.
- • Mulvaney Global Markets Fund posted its first profitable month in four months with a 3.1% September gain, driven by metals and interest rate positions, and is now up 72.66% for the year after a dominant first quarter that generated 124% returns.
- • CTA and trend-following strategies benefited from anticipated Fed rate cuts and demonstrated their historical uncorrelation to broad equity markets, with systematic quantitative strategies diversified across equities, bonds, commodities, currencies, and insurance-linked securities.
- • DUNN World Monetary & Agriculture Program ended a five-month losing streak with a 1.03% September gain, bringing its year-to-date return to 10.46%, with the sector's recovery driven primarily by agricultural and energy commodity positions.
- • Managed futures funds capitalize on trend-following across agricultural, energy, metal, financial futures, currencies, interest rates, and stock indices, positioning them as diversification tools for institutional portfolios.
Summary
Commodity trading advisors and trend-following hedge funds staged a notable recovery in September 2024, with multiple prominent managers returning to profitability after extended losing streaks. The sector's rebound was anchored by the Federal Reserve's anticipated 50-basis-point rate cut, which created favorable conditions for systematic trend-following strategies that typically exploit momentum patterns across global asset classes.
Quantedge Global Fund emerged as the month's top performer, climbing more than 8% in September to reach a year-to-date return of 29.36%. The fund employs a systematic quantitative investment strategy with broad diversification across equities, bonds, commodities, currencies, and insurance-linked securities. This multi-asset approach proved particularly effective in capturing the market dislocations that followed the Fed's policy shift, demonstrating the value of uncorrelated strategies for institutional portfolios.
Mulvaney Global Markets Fund, a systematic long-term trend-following program, posted a more modest but significant 3.1% gain in September—its first profitable month in the preceding four-month period. The fund has demonstrated exceptional year-to-date performance of 72.66%, with its strongest gains generated from metals and interest rate bets. Notably, Mulvaney surged 124% in the first quarter of 2024, driven primarily by soft commodity positions. The fund's portfolio concentrates on agricultural, energy, metal, and financial futures, with its managed futures strategy encompassing metals, energy, crops, livestock, currencies, interest rates, and stock indices.
DUNN World Monetary & Agriculture Program completed the sector's September rebound by posting a 1.03% monthly gain, ending a five-month drawdown period. The fund is now up 10.46% for the year. Collectively, these results underscore CTA and trend-following funds' value as portfolio diversifiers, as their performance remains historically uncorrelated to broad equity market movements despite modest equity allocations among many managers.
Quantedge Global Fund emerged as the month's top performer, climbing more than 8% in September to reach a year-to-date return of 29.36%. The fund employs a systematic quantitative investment strategy with broad diversification across equities, bonds, commodities, currencies, and insurance-linked securities. This multi-asset approach proved particularly effective in capturing the market dislocations that followed the Fed's policy shift, demonstrating the value of uncorrelated strategies for institutional portfolios.
Mulvaney Global Markets Fund, a systematic long-term trend-following program, posted a more modest but significant 3.1% gain in September—its first profitable month in the preceding four-month period. The fund has demonstrated exceptional year-to-date performance of 72.66%, with its strongest gains generated from metals and interest rate bets. Notably, Mulvaney surged 124% in the first quarter of 2024, driven primarily by soft commodity positions. The fund's portfolio concentrates on agricultural, energy, metal, and financial futures, with its managed futures strategy encompassing metals, energy, crops, livestock, currencies, interest rates, and stock indices.
DUNN World Monetary & Agriculture Program completed the sector's September rebound by posting a 1.03% monthly gain, ending a five-month drawdown period. The fund is now up 10.46% for the year. Collectively, these results underscore CTA and trend-following funds' value as portfolio diversifiers, as their performance remains historically uncorrelated to broad equity market movements despite modest equity allocations among many managers.
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