A Premium CTA Strategy Provider
In today’s environment where traditional investment strategies have gradually produced lower returns, Capricorn Strategies was established to provide advisory services to investors seeking products that can deliver a superior CTA trading strategy. Supervised by the Danish financial authorities (Reg. No.: 34099), we are dedicated to deliver and source Macro or CTA trading strategies that seek to out-perform market indexes with uncorrelated, risk-adjusted returns.
As a CTA strategy advisory firm, we have been recognised by industry professionals and awarded a number of accolades in recognition of our expertise and program performance. Below are a number of our performance rankings as calculated by BarclayHedge the alternatives investment database, against industry peers.
- FEB 2017: #6 Ranking for Total Return, Currency Traders – Capricorn Trend I (FX)
- JAN 2017: #1 Ranking for Total Return, Currency Traders – Capricorn FX-DM Systematic
- YTD 2016: #1 Ranking for Total Return, Multi-Advisor – Capricorn FX Core
- YTD 2015: #1 Ranking for Total Return, Multi-Advisor – Capricorn FX Core
- DEC 2015: #2 Ranking for Net Return, Multi-Advisor – Capricorn FX Core
- DEC 2015: #1 Ranking for 3 Yr Sharpe Ratio, Currency Traders – Capricorn fxST(Lev1)
Return Benefits in a CTA Trading Strategy
- Pure Alpha Investing
- Portfolio Optimisation
- Low Correlation
- Largest Market
- Low Cost Investing
- Control on Risk
Investment opportunities in Macro Strategies and CTA trading occurs due to inherent inefficiencies of the marketplace. As long as this continues, a skilled trader can generate risk-adjusted returns over time regardless of the underlying market direction.
Low transaction costs and the use of leverage to improve returns whilst controlling overall risk, strengthens the argument for including a CTA trading strategy within a traditional portfolio.
Emerging Manager Edge
- Smaller operations are more dynamic and responsive
- New strategies often offer a unique perspective
- Smaller asset strategies have fewer liquidity constraints
- Newer programs need to perform to attract assets
- Fewer restriction to adapt the strategy to changing markets
In the search for uncorrelated performance that can be generated above the broader market, our goal is to seek the idea generation processes of emerging managers with a CTA trading strategy which share our investment philosophy of absolute returns. The investment methodology of how the procedure will execute the strategy can vary by certain inputs, however the philosophy to achieving alpha remains constant.
In our opinion, nimble and adaptive investment strategies are more easily able to react and adjust to the constantly changing market dynamics that is present in the current trading environment.
Returns from established managers tend
to correlate to major indices, especially
during trending or stressed markets.
Identifying the Manager Life-cycleFor Unused Sources of Alpha By:
- Operational Size
- Investment Process
- Unique Selling Point
- Target Investors
Generating performance through manager skill should be the primary driver for any CTA strategy, however by focusing an analysis purely on return data will not identify the preferred managers for a successful portfolio. Not only will the market environment shift through technical cycles or event driven factors, investment programs are impacted by developments of the trading manager.
Understanding where the manager is in their life-cycle reflects upon performance, investment expectations as well as implementation of adequate risk controls.
Applying Modern Portfolio Theory
The core premise of modern portfolio theory, is that risk-adjusted returns can be improved at the portfolio level by allocating to multiple strategies and asset classes that are imperfectly correlated. Along with the additional benefits on risk controls during periods of market stress, the case for investing in CTA trading strategies is proving to be a valid one.
The CTA trading strategies are represented by the Newedge CTA Weighted Composite Index, with Global Equity strategies represented by the MSCI World Index. Global Fixed Income represented by the Barclays Global Aggregate Index.
Updated on 2017-04-05T12:17:17+00:00, by .