CTA Program Performances, December 2016

CTA Strategy Performances, December 2016

CTA Strategy Performances

The markets traded strongly with a year-end ‘Trump rally’ that pushed equity markets unexpectedly higher. This positive effect on investor confidence led to a general uptrend in the risk-seeking market environment, with the post-holiday season displaying wider ranges than the pre-holiday sessions. Lighter trading volumes allowed for opportunities to push for these extremes though.

As we headed into the holiday weekend, the G-10 currency strategy portfolio was near fully exposed as only one currency cross had not generated a buy signal since early November. The positions that were entered post-US Election in the previous month remained opened for most of December, benefiting from the trending market environment. Favouring a continuing US Dollar buying scenario, long dollar positons were held along with a sell-off in the Japanese yen.

Position exposure was high for the Trend Diversified portfolio during December with the month holding open positions in all but one of the markets. A trade reversal was executed on the last trading day and 7 other market picked up open signals during the month. Only 4 positions were closed resulting in zero expose in those markets as the year drew to a close. The trend following strategy therefore held 15 open positions into the New Year, with 12 buying market strength.

G-10 Currency Signals
The overall portfolio was well diversified across 10 of the 11currency crosses, as only USDCHF remained neutral during the month. However, the concentration of the portfolio’s profits came from 4 crosses that were either buying dollars of selling yen. USDTRY continued its upward trend since mid-September as it generated one third of total return in December. EURJPY and USDJPY both held short positions for more than 30 days, similarly with AUDUSD. The portfolio ended the month on the right side of the current trends with 7 positions continuing into the New Year.

Diversified Indices Signals
The equity markets performed strongly contributing more than a third of the program’s positive return. In this sector, the standout market was the DOW which held a long position since early November. Interest rate markets added to program performance, however the contribution from precious metals was fairly flat for the month. Energies held profitable long positions with Natural Gas matching the highest single market return for the portfolio along with the positions in the DOW and Coffee markets, which was the only significant contributor from the soft commodities.

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.