Capricorn CTA Strategy Performances

CTA Strategy Performances, February 2017

CTA Strategy Performances

Market optimism pushes US equities higher as investors react to optimism surrounding the potential financial sector deregulation driven by the message from the Trump administration. The prospects of a potential unveil of substantial corporate tax announcements coupled with rebounding corporate earnings reignited bullish sentiment in risky assets. This spill-over was felt across the financial markets from global equities to precious metals, energies and commodities; however the currency markets were either whipsawed or traded in narrow ranges.

Trading signals for the currency strategies executed across a range of currency pairs, with the greatest success in gaining absolute returns being generated from Yen buying positions. Otherwise, the currency markets lacked the volatility and trending environments required to develop a view or technical picture that could translate into a trading strategy seeking profit gains over the short term.

In a trading environment favouring the investor bias to extend positions in riskier assets, interest rate markets expectantly failed to impress as signal failed to generate any substantial returns. Longer term buying trends are still prevalent in the broader market as the case for holding and executing buying strategies in a range of financial markets was supported by risk adjusted gains.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.40% -0.23% 0.23%
fxST(3x) Directional Strategy JAN-1999 16.21% -0.69% 0.69%
Trend I (FX-only) Trend Following JAN-2010 12.11% 0.30% 1.68%
Trend II (Diversified) Trend Following JAN-2013 21.19% 4.32% 4.79%
FX Core Multi Strategy JAN-2010 20.96% -2.28% 2.44%
FX-DM Systematic Systematic Trading OCT-2014 56.79% -9.13% 2.97%

Note: Results of the Capricorn CTA Strategy Performances are calculated as of Tuesday 28th February, 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.