CTA strategy performances

CTA Strategy Performances, March 2017

CTA Strategy Performances

The major news that had been driving the markets in March began with the rate hike implemented by the FED to tighten monetary policy further, with inflation and unemployment move closer to its targets. Underlining the strength of the domestic economy, combined with surging equity markets have added to already elevated consumer confidence. In Europe, data from the eurozone continued to indicate levels of growth close the projected maximum rate, however it is somewhat overshadowed by political uncertainty stemming from continued Brexit discussions.

For the currency / CTA strategy performances this market sentiment translated poorly to the systematic, trend-following views as the market responds swiftly to the news. Volatility was present but without a clear directional bias. In the narrow market bands that were clearly present during March, trading strategies seeking a trending theme were disadvantaged while pragmatic, discretionary strategies were able to lock in shorter-term gains before markets reached to different inputs.

The situation for the strategy seeking medium term trends in the diversified markets fared better, holding on to slight gains but the was due to key markets driving positive returns. As with the currency strategies, overall exposure for the different trading strategies was much higher than typically experienced during a month with many positions being closed and reversed. However, the unclear direction meant that this increased trading volume tended to drag performance lower.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.42% 0.79% 1.03%
fxST(3x) Directional Strategy JAN-1999 16.26% 2.37% 3.08%
Trend I (FX-only) Trend Following JAN-2010 11.41% -4.09% -2.48%
Trend II (Diversified) Trend Following JAN-2013 20.86% 0.36% 5.17%
FX Core Multi Strategy JAN-2010 19.32% -3.57% -1.21%
FX-DM Systematic Systematic Trading OCT-2014 54.49% -1.00% 1.97%

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