Monday, May 27, 2024

Cocoa surge helps trend-followers complete stellar Q1

Trend-followers continued their strong year in March, boosted by rising stocks and a spiking cocoa price, as the CTA space returns to form. CFM, Lynx, Transtrend and Quest Partners were among the top performers.

Societe Generale’s Trend Index of the ten largest funds in the space rose 4.2% in March, pushing it above 12% for the quarter – its second-best Q1 on record.

Its broader CTA index meanwhile made 3.5% in March and more than 10% in Q1.

“Cocoa was the standout performer in March, with prices having more than doubled since the start of the year,” noted Winton in an update. “Long exposure to equities continues to be an important performance driver, with US, Japanese and European indices making new highs.”

The $11bn quant manager noted that two other longer-term trends – Japanese yen and natural gas weakness – continued to make a positive contribution to many portfolios through March. But fixed-income was a detractor.

Some March performance highlights in the strategy:

  • CFM, the $12.5bn French quant specialist, made 5% in its ISTrends product last month, putting it up 16.1% for the year. Its largest product, the $4.9bn Discus, made 0.5% and is up 6.7% for the year so far.
  • Rotterdam-based Transtrend made 5.6% in its Enhanced Risk product, which manages $4.9bn, most of its firm-wide assets, leaving it up 20.3% for Q1.
  • New York-based Quest Partners made 5.7% in its $2.2bn AlphaQuest Original product, putting it up 8.3% for the year.
  • Lynx in Stockholm made 5.6% in its main trend product, putting it up 13.9% for the year so far.

Now read: CFM’s Bouchaud on strategy, science and systematic: 5 takeaways