Key Takeaways
- • Metori Capital Management's Amundi Metori Epsilon Global Trends UCITS fund won The Hedge Fund Journal's UCITS Hedge Award for Best Performing Fund over 10 years (ending December 2024) in the CTA – Trend Following category, affirming competitive long-term performance in the CTA space.
- • Metori's quantitative analysis demonstrates that trend-following CTAs have significantly outperformed other hedge fund strategies over 25 years: the SG Trend Index gained approximately 284% since 2000, with maximum drawdowns only double its volatility, compared to four to nine times the volatility ratio for other HFRX-tracked hedge fund strategies.
- • Trend-following strategies have delivered the strongest performance since January 2000 while maintaining consistently low equity market correlation, positioning CTAs as distinctive diversifiers within strategic asset allocation frameworks despite recent underperformance over the past five years.
- • CEO and CIO Nicolas Gaussel emphasizes that while merger arbitrage indices showed higher Sharpe ratios, they offer materially lower return potential due to lower average volatility, making trend strategies more attractive for long-term portfolio construction.
- • CTAs' role in strategic asset allocation is reinforced by their reliability as a diversifying hedge fund strategy with distinctive risk-return characteristics separate from traditional equity exposures.
Summary
Metori Capital Management has strengthened its market positioning with a competitive industry recognition: its Amundi Metori Epsilon Global Trends UCITS fund earned The Hedge Fund Journal's UCITS Hedge Award for Best Performing Fund over the 10-year period ending December 2024 in the CTA – Trend Following category. This award reflects the fund's performance during a period that encompasses a substantial portion of Metori's current program track record and underscores the firm's execution within the commodity trading advisor space.
The firm's investment thesis rests on rigorous quantitative analysis comparing trend-following CTAs to alternative hedge fund strategies over an extended timeframe. Metori's research, originally published in 2019 and recently updated, reveals that the SG Trend Index has appreciated approximately 284% since 2000, with a maximum drawdown measuring only about double its volatility. By contrast, other hedge fund strategy indices tracked by HFRX exhibit maximum drawdown-to-volatility ratios of four to nine times, indicating substantially higher downside risk relative to volatility. The SG Trend Index was selected as the closest representation of pure-play trend followers such as Metori.
Nicolas Gaussel, CEO and CIO of Metori, notes that trend-following strategies have delivered the strongest performance among hedge fund strategies since January 2000 while simultaneously maintaining consistently low correlation to equities. This combination is particularly valuable within strategic asset allocation frameworks, where low correlation to traditional assets enhances portfolio diversification. Gaussel acknowledges that merger arbitrage indices have demonstrated superior Sharpe ratios, but he argues that this metric masks a critical limitation: merger arbitrage strategies generate materially lower return potential due to constrained average volatility levels, reducing their suitability for investors seeking meaningful long-term capital appreciation.
The narrative of trend-following strategies has evolved since late 2018, when industry observers prematurely declared the strategy category obsolete. Trend strategies have since recovered and demonstrated resilience, though recent five-year performance has been modest. When evaluated against the backdrop of low S&P 500 correlation, trend strategies continue to distinguish themselves within diversified portfolios. This positioning supports Metori's strategic argument that CTAs should constitute a meaningful allocation component within institutional and sophisticated investor asset allocations seeking decorrelated return drivers and enhanced downside protection.
The firm's investment thesis rests on rigorous quantitative analysis comparing trend-following CTAs to alternative hedge fund strategies over an extended timeframe. Metori's research, originally published in 2019 and recently updated, reveals that the SG Trend Index has appreciated approximately 284% since 2000, with a maximum drawdown measuring only about double its volatility. By contrast, other hedge fund strategy indices tracked by HFRX exhibit maximum drawdown-to-volatility ratios of four to nine times, indicating substantially higher downside risk relative to volatility. The SG Trend Index was selected as the closest representation of pure-play trend followers such as Metori.
Nicolas Gaussel, CEO and CIO of Metori, notes that trend-following strategies have delivered the strongest performance among hedge fund strategies since January 2000 while simultaneously maintaining consistently low correlation to equities. This combination is particularly valuable within strategic asset allocation frameworks, where low correlation to traditional assets enhances portfolio diversification. Gaussel acknowledges that merger arbitrage indices have demonstrated superior Sharpe ratios, but he argues that this metric masks a critical limitation: merger arbitrage strategies generate materially lower return potential due to constrained average volatility levels, reducing their suitability for investors seeking meaningful long-term capital appreciation.
The narrative of trend-following strategies has evolved since late 2018, when industry observers prematurely declared the strategy category obsolete. Trend strategies have since recovered and demonstrated resilience, though recent five-year performance has been modest. When evaluated against the backdrop of low S&P 500 correlation, trend strategies continue to distinguish themselves within diversified portfolios. This positioning supports Metori's strategic argument that CTAs should constitute a meaningful allocation component within institutional and sophisticated investor asset allocations seeking decorrelated return drivers and enhanced downside protection.
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