Mulvaney Capital’s systematic long-term trend-following programme has outperformed so far in 2024, with the strategy recording a huge 134.22% gain despite a decline last month, according to a report by Institutional Investor.
This impressive performance includes a gain of almost 10% in Q2, a period marked by volatility that saw many other commodity trading advisors and trend followers incur significant losses.
Mulvaney’s portfolio primarily comprises agricultural, energy, metal and financial futures. The firm’s managed futures strategy includes investments in metals, energy, crops, livestock, currencies, interest rates and stock indices. Notably, the strategy is uncorrelated to equities and most alternative asset classes, exhibiting a negative correlation with major stock indices, as per a hedge fund database.
The exceptional performance in the first half of the year was driven mainly by soft commodities, contributing 137 percentage points to gross gains, with stock indices adding another 34%. Losses were distributed across various strategies within the fund.
In contrast, many other CTAs experienced downturns in the second quarter. Aspect Capital’s flagship fund, for instance, gained 14.27% in the first half but fell over 5% in the second quarter.
Other funds faced steeper declines in June, with the Tulip Trend Fund reporting a 10% drop for the month and around 12% for the second quarter, reducing its year-to-date gain to 27.8%. The Quantedge Global Fund also saw a nearly 6% decline in Q2, ending the first half of the year up 17.1%, according to HSBC.
Dunn Capital Management’s world monetary & agriculture programme, meanwhile, lost more than half of its second-quarter gains, finishing the period up 15.89% after a strong 34% surge in the first quarter. The programme follows a systematic medium- to long-term trend strategy, trading across 66 markets, with agricultural investments making up 20% of its risk exposure, and long-term interest rates and stock indices accounting for 18% and 16%, respectively, as detailed in the firm’s June report.
