CTA Strategy Performances
The G-10 currency strategy portfolio was actively traded during October as positions were held in all but two of the currency crosses traded. Volatility returned to the expected post-summer period levels, aided by an increase in market risk and investor confidence as the US Dollar was driven higher across the board. The British Pound was still under pressure with little or no signs of the downward trend subsiding as the month drew to a close. Despite a pull-back in performance towards the end of the period the strategy capitalized on strong trend formations developed in the first 2 weeks.
During the period of October the portfolio of the diversified trend program was actively trading with exposure in all markets with exception for two equity indices. A strong trending environment was prevalent over the first 10 trading days of the period, as the strategy capitalizing on these favourable market conditions with strong program performance. Within the portfolio most markets contributed positive results and the handful of negative performers keeping the losses contained. As the period closed the strategy exhibited some intraday losses but still ended the month strongly.
G-10 Currency Signals
From the 11 currency crosses that form the portfolio only 2 pairs were neutral throughout October. Notably AUDUSD has ranged for 2 months without reaching any levels that would signal a new trend forming. Of the nine currency pairs all crosses contributed towards the programs’ positive return, however only USDTRY continued a position from the previous month. USD crosses held positions seeking a strengthening dollar, and extended this view into November. EURGBP was the only position realized by the portfolio by month-end with that particular trend dissipating.
Diversified Indices Signals
Across the 20 markets traded in the diversified trend portfolio, the equity indices had the smallest contribution towards program performance. Notably, the SP500 and Hang Seng indexes were the only markets traded in the program that did not have positions on during the month. Interest rates were sold off to great effect as those markets rallied lower, with a similar environment exhibited with precious metals. Energies and soft commodities were the strong performers aided by a continued rally in Coffee, with only an exception in Cocoa that dragged performance slightly lower.
CTA Trading Strategies
|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.