Commodity trading advisors rebounded sharply in November, with several posting huge gains for the month. In fact, at least one of these funds, also known as managed futures, was able to return to profitability.
These are computer-driven funds that invest in a wide variety of strategies, include various commodities, and generally are designed to ride a short-term, medium-term, or long-term trend.
Most CTAs got off to strong starts this year but have been reeling in recent months. In November, though, many saw boosts from strategies they called the Trump trade, investments expected to benefit if Donald Trump won the election.
One of the top performers was Quantedge Global Fund, which nearly doubled its performance, gaining more than 16 percent for the month. As a result, it is up 34.3 percent in 2024 heading into the last month of the year. The systematic quantitative investment strategy is diversified across multiple asset classes such as equities, bonds, commodities, currencies, and insurance-linked securities, according to the fund’s website.
The Tulip Trend Fund jumped 13.3 percent last month, enabling it to return to profitability. It is now up 5.3 percent for the year.
“The U.S. presidential elections had mostly a short-term impact on existing trends,” Tulip noted in its monthly report. The Trump trade caused losses on long positions in gold but added to profits on longs in U.S. equities and the U.S. dollar as well as on shorts in U.S. interest rate instruments, Tulip explained. “In other monetary trends, the strategy lost on shorts in the yen, Canadian dollar, and Australian interest rate instruments, while it profited from longs in Euro zone and South Korean interest rate instruments and Brazilian shorts.”
Tulip also said the largest positive contributors to last month’s performance were agriculturual commodities, where the fund benefited from falling wheat and soybeans and rising livestock, palm oil, coffee, and cocoa.
Elsewhere, the Mulvaney Global Markets Fund, a systematic long-term trend-following program, climbed 7 percent last month and is now up 62.1 percent for the year, according to its November monthly tear sheet, seen by II. Most of the gains were driven by bets on soft commodities, the report says. Softs have also accounted for 171 percentage points of gains for the year to date. Losses in 2024 have come from interest rates, commodities, and, to a lesser extent, livestock.
The Aspect Diversified Fund gained 2.13 percent in November and is up 7.11 percent for the year, according to a client document.
“Expectations of the geopolitical and macroeconomic implications of the U.S. presidential election rippled through markets,” the fund noted in its monthly report, seen by II. “The initial reaction following Donald Trump’s sweeping victory was positive for equities, with many benchmark stock indices rallying to record highs. As the month unfolded, uncertainty surrounding the incoming administration’s policies and the effect those will have on the economy caused markets to retrace.”
Aspect made money from a long position in the U.S. dollar, which strengthened against many currencies, driven largely by post-election expectations that Trump’s victory will lead to fiscal easing and stronger economic growth, it noted. It also benefited from a net short euro exposure and a long exposure to credit markets and stock indices, on perceived improving economic conditions.
In commodities, the fund enjoyed gains from a long exposure to coffee and cocoa markets. In metals, it lost money on a long position in gold, and in energies, rising natural gas prices hurt its short position.
DUNN Capital Management’s World Monetary & Agriculture Program gained 6.2 percent in November and is now up 6.85 percent for the year, according to the latest monthly client report. WMA Institutional — the half-leverage version of the strategy — rose 3.11 percent last month and 4.4 percent for the year. November performance was driven by “sizable returns” in stocks and agriculturals “that outweighed” moderate to small losses in fixed income, metals, currencies, and energies, according to DUNN’s monthly analysis, seen by II.
Heading into December, the firm said its most substantial exposure is net long stocks. This is followed by net long agriculturals, net short currencies (against the U.S. dollar), net short fixed income, and net long metals. Dunn also said it holds a small net long exposure in energies.
