Most commodity trading advisors and managed-futures funds had a rough time in February.
Many of the large or high-profile funds that mostly deploy trend-following strategies lost money, although some remain in the black for the year. But as stock market volatility stays high and stocks seem headed toward a bear market, the big question is whether the trend-following computer-driven funds will once again thrive as an alternative asset class.
CTAs, most of which manage less than $1 billion, boast that they have little or no correlation to the S&P 500. The funds — which may hold stocks and bonds but also frequently invest in a wide variety of commodities, currencies, and other strategies — like to point to the global financial crisis, when CTAs had one of their best years as markets imploded.
“Historically, managed-futures investments have offered low correlation not only to traditional portfolio investments such as stocks and bonds, but to other alternative hedge fund investment strategies as well,” Morgan Stanley wrote in a report dated March 14. “Viewed as an absolute return alternative investment strategy, managed-futures investments typically have a low beta to risky assets and are uncorrelated to long-biased hedge funds, private equity, and other alternatives. Moreover, managed futures have no inherent long bias to any asset class, and at periods may be short any number of markets. That could make managed futures an important part of a retail or institutional investor’s portfolio in the current environment, which may continue for some time.” Some argue that managed futures are ripe for replication — an alternative to single manager funds, which could open the strategy up to a wider set of investors, including individuals.
One of the worst performers in February was the Tulip Trend Fund, which lost 15.6 percent for the month and is now down 18.8 percent for the year, according to its monthly report, seen by Institutional Investor.
“Despite a promising start, February turned out to be a very difficult month for the strategy,” the report stated, adding that the largest declines came from agriculturals, initially from shorts in sugar and wheat but “ultimately” from longs in U.S. corn, livestock, and cocoa. “The losses on longs in U.S. agricultural markets coincided with losses on longs in U.S. equity markets and the dollar and shorts in U.S. interest rate instruments in energy markets.”
Tulip Trend did make money from long positions in equity markets and Eastern European currencies, according to the report.
The Mulvaney Global Markets Fund also had a rough time last month, dropping 13.36 percent, per a managed-futures database. The loss put the fund into the red by 2.57 percent. Of course, the long-term trend-following program is accustomed to this kind of volatility. February was the sixth month in the past eight that Mulvaney was either up or down by double digits.
Elsewhere, Transtrend lost nearly 10 percent in February and is now down 9.2 percent for the year, according to a database. It is perhaps the largest CTA, with $3.7 billion in assets.
The DUNN World Monetary & Agriculture Program (WMA) dropped 5.25 percent in February, and WMA Institutional — the half-leverage version of the strategy — fell 2.55 percent. As a result, they are up just 1.28 and 0.78 percent, respectively, over the first two months of the year.
WMA is a 100 percent systematic medium- to long-term trend-following program that trades in 67 markets. At the end of last month, long equities through stock indices continued to have the strategy’s largest allocation, according to the February client report. The second-largest position was net short currencies against the U.S. dollar; the British pound is the only long market of the sector. “Exposure in net long metals, net short fixed-income, and net short agriculturals are all of similar, moderate size,” the report noted, adding that WMA holds a small position in net long energies.
The Aspect Diversified Fund dropped 3.27 percent in February and is down 2.09 percent for the year. The Quantedge Global fund, for its part, lost about 1 percent but remains up 6.4 percent for 2025.
Several high-profile funds did make money last month. One example: Capital Fund Management’s Discus Composite rose nearly 4 percent, extending its 2025 gains to 7.85 percent. The multistrategy, multiasset futures program covers more than 100 markets in equity indices, bonds, short-term interest rates, commodities, and currencies.
