Capricorn CTA Program Performances

CTA Strategy Performances, January 2017

CTA Strategy Performances

The New Year continued the path from where the previous year left off with buyer pushing markets higher, and is some cases to all-time highs as experienced by the Dow Jones finally passing the 20,000 level. The momentum behind the ‘Trump Trade’ may be fading but a market reversal is not quite yet in sight market risk remains elevated and investors seek buying opportunities.

In the G-10 currency CTA strategy portfolio the Dollar experienced a broad reversal against the majors during January, as the buying trends in the greenback that were initiated late last year were closed and subsequently sold lower. The currency portfolio was fully exposed for most of the trading period as price movement fluctuated sufficiently to enable the triggering of several trade generation ideas.

Continuing near full exposure since the end of last year, the Trend Diversified portfolio held or executed a position in all but one of the twenty markets traded by the program during January. Only a handful of positions were closed by the end of the month as the current price movement across the diversified market space still support a trending environment to capture gains.

G-10 Currency Signals
The strategy continues to produce positive returns as the currency markets continue to produce trends despite the reversal from the earlier strong dollar bias. The only exception to the dollar weakening scenario came from the USDTRY trade that continued from its buy position since the beginning of the last quarter. This position coincidently also generated the performance for the month. With positions held across all currency pairs traded, the portfolio was well diversified as only EURGBP and GBPJPY closed their positions and remained neutral as the month came to a close.

Diversified Indices Signals
The Diversified trending strategy was definitely in a buying mood this month with the majority of the markets either holding or buying positions. Trading strategies covering the equity markets were no exception to this, as the only selling position being executed on the Nikkei. Only US equity indices contributed towards program returns as the European and Asian counterparts underperformed. Gold and Silver indices posted positive returns as well as several of the soft commodity indices, with energies drifting lower following lasts months rally dragging performance lower.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.44% 0.46% 0.46%
fxST(3x) Directional Strategy JAN-1999 16.32% 1.39% 1.39%
Trend I (FX-only) Trend Following JAN-2010 12.21% 1.37% 1.37%
Trend II (Diversified) Trend Following JAN-2013 20.56% 0.45% 0.45%
FX Core Multi Strategy JAN-2010 22.27% 4.84% 4.84%
FX-DM Systematic Systematic Trading OCT-2014 62.73% 12.10% 12.10%

Note: Results of the Capricorn CTA Strategy Performances are calculated as of Tuesday 31st January, 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.