Key Takeaways
- • AlphaSimplex's Managed Futures Strategy Fund won The Hedge Fund Journal's CTA Awards 2021 for best trend follower in the flat fee category, recognized over a two-year period ending December 2020, with performance data sourced from Preqin.
- • The strategy generated profitable performance across three of four broad asset classes in 2020, with US Treasury futures (5- and 10-year bonds) as the largest contributor, followed by commodities including profitable shorts in crude oil and energy complex positions during Q1, plus gold and copper longs later in the year.
- • The fund employs a pure trend-following approach utilizing a combination of core, shorter-term, and adaptive models that can dynamically shift to shorter timeframes; adaptive models proved particularly effective in Q1, Q3, and Q4 of 2020.
- • Currency exposure generated mixed but positive returns from AUD, NZD, SEK, and EUR positions, while equities overall detracted from performance despite five of thirty traded indices posting profits, including China A50, Taiwan stock index, Nikkei, and Nasdaq.
- • The strategy operates on a flat fee structure charging management fees but no performance fees, distinguishing it from traditional hedge fund compensation models and allowing transparent alignment with investor interests.
Summary
AlphaSimplex's Managed Futures Strategy Fund has been recognized as a leading flat fee trend-following vehicle, earning The Hedge Fund Journal's CTA Awards 2021 designation for best trend follower in the flat fee category over the two-year period ending December 2020. This recognition, powered by Preqin data, reflects the strategy's consistent application of adaptive trend-following methodologies across global liquid futures markets.
The strategy's 2020 performance demonstrated the effectiveness of its multi-model approach across diversified asset classes. Bond markets delivered the strongest returns, with US Treasury futures contracts (5- and 10-year maturities) contributing substantially more than European counterparts, benefiting from the greater compression potential in US yields that started 2020 at higher levels. Commodity positioning generated the second-largest contribution to returns, with short positions in the energy sector—particularly crude oil and the broader energy complex—driving profits in the first quarter, while long positions in copper and gold proved effective later in the year. Currency markets showed more modest gains across select currencies including the Australian dollar, New Zealand dollar, Swedish krona, and euro. Equity exposure overall acted as a drag on performance, though the strategy captured gains in five of thirty traded equity indices, including China A50, the Taiwan stock index, Japan's Nikkei, and the Nasdaq.
The fund's underlying methodology combines three distinct modeling approaches: core trend-following models, shorter-term trend models, and adaptive models capable of shifting between timeframes based on market conditions. This hybrid architecture proved particularly valuable during volatile periods in Q1, Q3, and Q4 of 2020, allowing the strategy to adjust its exposure timing dynamically. In 2019, the strategy similarly benefited from pronounced trends in bond markets, suggesting consistent performance across different market regimes.
Dr. Kathryn Kaminski, Chief Research Strategist at AlphaSimplex, has emphasized the nuanced relationship between crowding and trend-following strategy success, noting that while trends are inherently crowd phenomena, reversals in crowded trades can generate losses. This insight reflects the strategy's management of concentration risk across its diverse futures basket.
The Managed Futures Strategy Fund operates under a flat fee structure, charging management fees without performance-based compensation, a structural feature that distinguishes it from traditional hedge fund models and aligns manager and investor interests in a transparent fee arrangement. The strategy seeks positive absolute returns over full market cycles with low correlation to traditional stock and bond markets.
The strategy's 2020 performance demonstrated the effectiveness of its multi-model approach across diversified asset classes. Bond markets delivered the strongest returns, with US Treasury futures contracts (5- and 10-year maturities) contributing substantially more than European counterparts, benefiting from the greater compression potential in US yields that started 2020 at higher levels. Commodity positioning generated the second-largest contribution to returns, with short positions in the energy sector—particularly crude oil and the broader energy complex—driving profits in the first quarter, while long positions in copper and gold proved effective later in the year. Currency markets showed more modest gains across select currencies including the Australian dollar, New Zealand dollar, Swedish krona, and euro. Equity exposure overall acted as a drag on performance, though the strategy captured gains in five of thirty traded equity indices, including China A50, the Taiwan stock index, Japan's Nikkei, and the Nasdaq.
The fund's underlying methodology combines three distinct modeling approaches: core trend-following models, shorter-term trend models, and adaptive models capable of shifting between timeframes based on market conditions. This hybrid architecture proved particularly valuable during volatile periods in Q1, Q3, and Q4 of 2020, allowing the strategy to adjust its exposure timing dynamically. In 2019, the strategy similarly benefited from pronounced trends in bond markets, suggesting consistent performance across different market regimes.
Dr. Kathryn Kaminski, Chief Research Strategist at AlphaSimplex, has emphasized the nuanced relationship between crowding and trend-following strategy success, noting that while trends are inherently crowd phenomena, reversals in crowded trades can generate losses. This insight reflects the strategy's management of concentration risk across its diverse futures basket.
The Managed Futures Strategy Fund operates under a flat fee structure, charging management fees without performance-based compensation, a structural feature that distinguishes it from traditional hedge fund models and aligns manager and investor interests in a transparent fee arrangement. The strategy seeks positive absolute returns over full market cycles with low correlation to traditional stock and bond markets.
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