Key Takeaways
- • The Mulvaney Global Markets Fund posted a 10.55% loss in July 2024, its worst monthly performance since November 2022, yet remains up 109.61% year-to-date and maintains position as a top-performing fund for the year.
- • Currency trading accounted for more than half of Mulvaney's July decline, with livestock and interest rates responsible for most of the remainder, despite soft commodities contributing nearly 142% to gross year-to-date performance.
- • The Tulip Trend Fund declined 10% in July as its third consecutive monthly loss, with year-to-date gains slipping to just 15% despite a 46% gain through April, hurt primarily by trend reversals in currency markets and short positions in Japanese yen and emerging Asian currencies.
- • Trend-following quantitative strategies faced headwinds from currency market volatility and commodity price reversals in July 2024, though most CTAs remain solidly positive for the year despite the monthly setback.
Summary
Several trend-following quantitative funds experienced notable losses in July 2024, marking a significant correction for strategies that have otherwise delivered strong returns year-to-date. The Mulvaney Global Markets Fund, which has emerged as one of 2024's top performers, fell 10.55% during the month—its worst monthly result since November 2022. Despite this decline, the fund remains substantially profitable, having gained 109.61% through July, up from more than 149% through May.
According to Mulvaney's monthly factsheet, currency trading was the primary driver of July's losses, accounting for more than half the monthly decline. Livestock positions and, to a lesser extent, interest rate exposure contributed to the remainder of the setback. However, the fund's year-to-date performance has been underpinned by soft commodities, which contributed nearly 142% to gross performance, while stock indices added approximately 33%. Notably, Mulvaney posted exceptional gains in February and March, returning 45.4% and 51% respectively, demonstrating the volatility inherent in trend-following strategies.
The Tulip Trend Fund similarly struggled in July, declining 10% as its third consecutive monthly loss. The fund's year-to-date return has deteriorated significantly to just 15%, despite achieving a 46% gain through April. Currency market reversals proved especially damaging, with losses concentrated in short positions in the Japanese yen and emerging Asian currencies including the Chinese renminbi. Commodity market weakness also hurt long oil and industrial metals positions, though losses were partially offset by profitable short positions in natural gas and grains.
These setbacks reflect the challenges trend-following CTAs face during periods of currency volatility and commodity price reversals. Despite July's correction, most trend-following funds have maintained solid year-to-date performance, underscoring the resilience of systematic trend-based strategies over longer time horizons.
According to Mulvaney's monthly factsheet, currency trading was the primary driver of July's losses, accounting for more than half the monthly decline. Livestock positions and, to a lesser extent, interest rate exposure contributed to the remainder of the setback. However, the fund's year-to-date performance has been underpinned by soft commodities, which contributed nearly 142% to gross performance, while stock indices added approximately 33%. Notably, Mulvaney posted exceptional gains in February and March, returning 45.4% and 51% respectively, demonstrating the volatility inherent in trend-following strategies.
The Tulip Trend Fund similarly struggled in July, declining 10% as its third consecutive monthly loss. The fund's year-to-date return has deteriorated significantly to just 15%, despite achieving a 46% gain through April. Currency market reversals proved especially damaging, with losses concentrated in short positions in the Japanese yen and emerging Asian currencies including the Chinese renminbi. Commodity market weakness also hurt long oil and industrial metals positions, though losses were partially offset by profitable short positions in natural gas and grains.
These setbacks reflect the challenges trend-following CTAs face during periods of currency volatility and commodity price reversals. Despite July's correction, most trend-following funds have maintained solid year-to-date performance, underscoring the resilience of systematic trend-based strategies over longer time horizons.
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