Long-running trend-following hedge fund Drury Capital scores double-digit returns amid ‘erratic’ market movements

Trend following

Drury Capital, the long-running US trend-following hedge fund firm led by former grain trader Bernard Drury, has soared into double-digit territory this year, with both its established flagship fund and recently-launched multi-strategy futures fund making gains across commodities and equities markets. 

The Diversified Trend Following Program advanced 13 per cent in the first two months of 2021, and gained almost 38 per cent in the 12-month period to the end of February. The flagship systematic managers futures fund, which launched in May 1997, has an annualised return since inception of 9.5 per cent, compared to the S&P 500’s 6.4 per cent over the same period. 

Commodities account for around half the portfolio, and its returns were fueled by gains across aluminium (up 5 per cent), copper (up 5.5 per cent) and cotton (up 2.7 per cent).  

Corn and natural gas were also in positive territory, as Bernard Drury, founder and CEO of Drury Capital, notes the portfolio’s ability to “ride the erratic movements” in markets and deliver positive returns. 

Meanwhile, the Drury Capital Multi-Strategy Futures Program, a new CTA strategy launched in 2020, has generated a 22 per cent return during its first year of trading to February 2021, outperforming its annual return target of 14 per cent with 10 per cent volatility. 

The Multi-Strategy Futures Program, which combines global equities and fixed income markets investing with an uncorrelated trend-following approach, scored a 3.8 per cent gain last month, outflanking the S&P 500’s 2.6 per cent rise, amid surging commodity prices. 

“In the highly volatile trading environment of 2020, the benefit of diversification among uncorrelated strategies proved to be of great importance,” says Drury, noting the fund’s 1.6 per cent gain during March’s Covid crash against the S&P500’s 12.5 per cent slump. 

“The portfolio blends sub-strategies that are uncorrelated and of different time horizons, which, on balance, performed well in the tumultuous period.” 

Bill Miller, global head of sales and marketing, adds: “Such a well-diversified offering means we have been nimble in making returns in the midst of such rollercoaster swings in market activity. It’s clear there is still some way to go with the super cycle and this carefully curated blend of commodities and other elements will offer an interesting and compelling investment narrative.”