Key Takeaways
- • Trend-following CTAs surged in February 2024 after losses in 2023, with the average CTA gaining 1.9% for the month, reversing prior-year underperformance driven by momentum in equities and commodity markets.
- • AQR's $1.5 billion Managed Futures strategy returned 7.9% in February, significantly outperforming the CTA average under billionaire Cliff Asness's leadership.
- • Man Group's two flagship funds posted strong February returns: AHL Dimension ($6 billion) gained 4.8% and AHL Evolution ($5.4 billion) returned 5.6% through February 23.
- • Smaller and emerging CTA managers substantially outperformed larger peers, with Mulvaney Capital posting 45% for February alone and Progressive Capital Partners' Tulip Trend Fund up 19.3% for the month (29.6% year-to-date through February).
- • Systematica's Bluetrend ($17 billion quant strategy) returned 6.4% through February 23, while Aspect Capital's Diversified strategy gained 8% for the month with year-to-date returns of 13.5%.
Summary
Trend-following commodity trading advisors (CTAs) staged a significant recovery in February 2024, reversing weakness from 2023 when the strategy subset posted losses on average. According to BarclayHedge, the average CTA gained 1.9% in February, marking a notable turnaround. However, several elite managers substantially exceeded this benchmark, with performance driven by strong equity market momentum and sharp moves across commodity complexes.
AQR Capital Management, the Connecticut-based firm led by billionaire Cliff Asness, posted the most impressive headline return among established large-cap CTAs. Its $1.5 billion Managed Futures strategy returned 7.9% in February, roughly four times the category average. London-based Man Group delivered solid but more moderate gains through its two largest CTA vehicles: the $6 billion AHL Dimension fund returned 4.8% and the $5.4 billion AHL Evolution fund gained 5.6%, both measured through February 23. Systematica, the $17 billion quantitative strategy firm run by former BlueCrest executive Leda Braga, posted 6.4% returns in its Bluetrend fund over the same period.
Smaller and emerging CTA managers demonstrated outsized performance relative to their larger peers. Aspect Capital, a London-based manager with approximately $8 billion in total assets, gained 8% in its Aspect Diversified strategy for February, pushing year-to-date returns to 13.5%. Most dramatically, Mulvaney Capital, the 25-year-old CTA operation run by former Merrill Lynch investor Paul Mulvaney, surged 45% in February alone, benefiting from strong equity market performance and sharp commodity volatility. Progressive Capital Partners' Tulip Trend Fund, a Swiss-domiciled CTA with roughly $150 million in assets under management, posted the most exceptional returns, gaining 19.3% in February and 29.6% year-to-date through the same period.
The February 2024 performance recovery underscores renewed demand for momentum-driven systematic strategies, particularly those with exposure to commodity and equity futures contracts. The disparity between top performers and category averages reflects manager skill in navigating directional market moves and portfolio construction, with smaller, nimble operations posting notably stronger returns than many established institutional CTAs.
AQR Capital Management, the Connecticut-based firm led by billionaire Cliff Asness, posted the most impressive headline return among established large-cap CTAs. Its $1.5 billion Managed Futures strategy returned 7.9% in February, roughly four times the category average. London-based Man Group delivered solid but more moderate gains through its two largest CTA vehicles: the $6 billion AHL Dimension fund returned 4.8% and the $5.4 billion AHL Evolution fund gained 5.6%, both measured through February 23. Systematica, the $17 billion quantitative strategy firm run by former BlueCrest executive Leda Braga, posted 6.4% returns in its Bluetrend fund over the same period.
Smaller and emerging CTA managers demonstrated outsized performance relative to their larger peers. Aspect Capital, a London-based manager with approximately $8 billion in total assets, gained 8% in its Aspect Diversified strategy for February, pushing year-to-date returns to 13.5%. Most dramatically, Mulvaney Capital, the 25-year-old CTA operation run by former Merrill Lynch investor Paul Mulvaney, surged 45% in February alone, benefiting from strong equity market performance and sharp commodity volatility. Progressive Capital Partners' Tulip Trend Fund, a Swiss-domiciled CTA with roughly $150 million in assets under management, posted the most exceptional returns, gaining 19.3% in February and 29.6% year-to-date through the same period.
The February 2024 performance recovery underscores renewed demand for momentum-driven systematic strategies, particularly those with exposure to commodity and equity futures contracts. The disparity between top performers and category averages reflects manager skill in navigating directional market moves and portfolio construction, with smaller, nimble operations posting notably stronger returns than many established institutional CTAs.
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