Key Takeaways
- • Trend-following CTAs delivered outsized February returns, with the CTA strategy average reaching 1.9% for the month, but six major hedge funds significantly exceeded this benchmark, signaling a sharp reversal from 2023's losses across the sector.
- • AQR's $1.5 billion Managed Futures strategy posted 7.9% returns in February, while Man Group's two flagship funds (AHL Dimension at $6 billion and AHL Evolution at $5.4 billion) returned 4.8% and 5.6% respectively through February 23, demonstrating strong momentum capture among established players.
- • Systematica's $17 billion Bluetrend fund gained 6.4% through February 23, and Aspect Capital's $8 billion Diversified strategy rose 8% for the month, bringing year-to-date returns to 13.5%, reflecting broad-based strength in systematic trend-following strategies.
- • Smaller CTA managers captured exceptional gains, with Mulvaney Capital generating 45% in February alone (benefiting from strong equity markets and commodity volatility) and Progressive Capital Partners' $150 million Tulip Trend Fund posting 19.3% monthly returns and 29.6% year-to-date gains.
- • The February performance surge reflects CTAs' sensitivity to market momentum and volatility, reversing 2023's sector-wide losses as futures-based strategies capitalized on directional moves across equities and commodities.
Summary
Trend-following hedge funds, a subset of CTAs that deploy futures contracts to capture market momentum, delivered a significant turnaround in February 2024 after sustained losses throughout 2023. According to BarclayHedge data, the average CTA generated 1.9% returns for the month, a pronounced improvement that masks even stronger performances by six prominent managers who substantially outpaced this benchmark.
AQR Capital Management, the Connecticut-based firm run by billionaire Cliff Asness, led the pack with its $1.5 billion Managed Futures strategy posting 7.9% returns for February. London-based Man Group's two major funds—the $6 billion AHL Dimension and $5.4 billion AHL Evolution strategies—followed with returns of 4.8% and 5.6% respectively through February 23, according to HSBC's weekly reporting. Systematica, the $17 billion quantitative investment firm headed by former BlueCrest executive Leda Braga, captured 6.4% gains in its Bluetrend strategy over the same period, while Aspect Capital, a London-based manager with approximately $8 billion in total assets, posted 8% returns in its Aspect Diversified strategy, pushing year-to-date performance to 13.5%.
Smaller and emerging CTA operators demonstrated particularly striking results. Mulvaney Capital, a 25-year-old shop run by former Merrill Lynch investor Paul Mulvaney, generated an exceptional 45% return in February alone, bolstered by strength in equities markets and sharp commodity price movements. Progressive Capital Partners' Tulip Trend Fund, a Swiss-based CTA with roughly $150 million under management, delivered 19.3% monthly returns and an impressive 29.6% year-to-date performance. These gains underscore how trend-following strategies benefit from directional market moves and volatility spikes that momentum-based models are designed to capture. The February surge represents a marked recovery for the CTA sector, which struggled with negative returns on average in 2023 before rebounding with sustained momentum-driven opportunities in early 2024.
AQR Capital Management, the Connecticut-based firm run by billionaire Cliff Asness, led the pack with its $1.5 billion Managed Futures strategy posting 7.9% returns for February. London-based Man Group's two major funds—the $6 billion AHL Dimension and $5.4 billion AHL Evolution strategies—followed with returns of 4.8% and 5.6% respectively through February 23, according to HSBC's weekly reporting. Systematica, the $17 billion quantitative investment firm headed by former BlueCrest executive Leda Braga, captured 6.4% gains in its Bluetrend strategy over the same period, while Aspect Capital, a London-based manager with approximately $8 billion in total assets, posted 8% returns in its Aspect Diversified strategy, pushing year-to-date performance to 13.5%.
Smaller and emerging CTA operators demonstrated particularly striking results. Mulvaney Capital, a 25-year-old shop run by former Merrill Lynch investor Paul Mulvaney, generated an exceptional 45% return in February alone, bolstered by strength in equities markets and sharp commodity price movements. Progressive Capital Partners' Tulip Trend Fund, a Swiss-based CTA with roughly $150 million under management, delivered 19.3% monthly returns and an impressive 29.6% year-to-date performance. These gains underscore how trend-following strategies benefit from directional market moves and volatility spikes that momentum-based models are designed to capture. The February surge represents a marked recovery for the CTA sector, which struggled with negative returns on average in 2023 before rebounding with sustained momentum-driven opportunities in early 2024.
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