Capricorn CTA Strategy Performances

CTA Strategy Performances, September 2016

CTA Strategy Performances and Positioning

The currency portfolio for the Trend I (FX-only) strategy was relatively inactive during September as the strategy searched for buying or selling signals. A differ picture was present in the Trend II (Diversified) strategy as the exposure ratio for the portfolio was active during September with the signals holding positions in all but two of the markets analysed. Volatility remained low and the trading ranges narrowed with moves extending past the support and resistance levels occurring infrequently. As a result, general market risk dissipated and without the formation of clear trends the strategy struggled to make any headway in accumulating a series of positive returns. With risk being centred on economic events and releases, the strategy was unable to identify a clear market direction.

From the 11 currency crosses being analysed by the Trend I (FX-only) strategy, 6 were neutral throughout the entire period and notably AUDJPY last executed a position over 90 days ago. Only USDJPY and EURJPY extended their position from the previous period, as they both sold Yen at the end of August. GBPUSD and GBPJPY picked up and held buy signals in the first half of the month, and the only wining trade was executed by USDTRY. The Turkish Lira was sold mid-month generating an unrealised profit as it became the only position carried into October.

Across the 20 markets traded by the Trend II (Diversified) strategy, the equity indices had little impact upon the portfolio with the exception of the Asian bourses which offset their gains and losses against each other. Notably, the European stock index extended its neutral stance to a third month. Interest rates, energies and precious metals dragged performance lower, while a strong trend in sugar produced a positive return from soft commodities. However, this was not strong enough to send the strategy into positive territory as half the portfolios markets extended positions into the new period.

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.