Capricorn CTA Strategy Performances

CTA Strategy Performances, August 2016

CTA Strategy Performances and Positioning

As the summer period drew to a close, trading activity increased from the middle of August for the currency trending strategy. Inactive crosses for the month included; GBPUSD, AUDJPY and USDTRY, as the trading signals waited for levels to be approached. Of the six profitable crosses, the bigger contributions came from EURGBP and USDJPY, as the losses were well contained to only two of the remaining active pairs. Going into September the model is exposed in only two pair that are seeking yen weakening.

A similar picture of lower volatility markets was displayed in the diversified trend strategy, as six of the markets did not executed any positions. The equity markets produced fairly lackluster results with the exception of the Hang Seng. Precious metals were all strong performers as well as soft commodities, with only Cocoa being the singular standout with a negative return. The portfolio is building into positions as nearly half of markets traded are exposure coming into September.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.42% 0.45% 1.48%
fxST(3x) Directional Strategy JAN-1999 16.26% 1.35% 4.47%
Trend I (FX-only) Trend Following JAN-2010 11.45% 1.26% -1.25%
Trend II (Diversified) Trend Following JAN-2013 20.39% -0.31% 4.85%
FX Core Multi Strategy JAN-2010 19.45% 2.01% 0.78%
FX-DM Systematic Systematic Trading OCT-2014 53.17% 1.12% 3.10%
Intraday Trend - FX Systematic Trading MAR-2015 50.14% 4.87% 9.73%

Note: Results of the Capricorn CTA Strategy Signals are calculated as of Friday 31st April, 2017
A comparative analysis can be made against the Newedge CTA Index as the performance benchmark.

Disclaimers and Risk Disclosures
Commodity Trading involves substantial risk of loss and is not suitable for all investors. Any CTA strategy performances results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced investors.

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading strategy.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.