CTA Strategy Programs

There are a number of key benefits when allocating to a CTA strategy investment program, including a fact that they are a source of uncorrelated returns from equity and fixed income market returns. Therefore as a diversification tool, simply investing in a premium CTA strategy contributes significantly towards portfolio protection.

We provide a number of trading strategies for clients to select and execute, ranging from our flagship currency single-strategy product to a multi-strategy program that tracks four different trading styles. Our investment services extends to a fully systematic strategy which applies our own trend following principles and philosophies to the financial markets. These signal generation services are provided on;

      1. Capricorn fxST (Lev1) Strategy
      2. Capricorn Trend Strategy
      3. Capricorn FX Core Strategy
      4. Capricorn FX-DM Systematic

In addition to these products our CTA advisory services offer clients the possibility of creating an investment product that is tailored to their financial needs. This includes; strategy evaluation, portfolio construction, currency hedging and brokerage advisory service.


Investment Philosophy

Gaining Market Alpha:

  1. Specialist strategies offer greater differentiation
  2. Excess returns are generated from manager skill
  3. Strategies are governed by robust risk controls
  4. Judgement is the key advantage over broad analysis
  5. Disciplined approach will benefit portfolio returns

The Capricorn CTA strategies are created around our investment philosophy which has not changed since the firm was established in 1999. In our view, it is best to have a thorough understanding of a selected number of liquid currency pairs to achieve product diversification, then to develop a holistic assessment of the currency market in general. The fundamental principles behind our investment philosophy are that excess returns are generated from manager skill, and it is through the implementation of robust risk controls that protects the returns against adverse market conditions. From our years of experience in trading the currency markets to seek pure alpha, our knowledge has taught us that portfolio diversification is achievable trading the G10 currencies.

Capricorn CTA Strategy Investment Philosophy

The expertise of the trading manager to analyse and interpret data in order to develop a hypothesis of the market behaviour is developed over years of experience. This sound judgement gives Capricorn a key advantage over a broad analysis of the markets using only charts. It is through our focused approach to investing and the manager discretion over the trading procedure that gives Capricorn our competitive advantage. By following a disciplined approach to trading that adheres to a strict risk management process, investors over time will benefit from enhanced portfolio return that is diversified and uncorrelated to traditional assets.


Methodology for each CTA Strategy

Strategy Catergories:

  1. Technical
  2. Fundamental
  3. Behavioural
  4. Discretionary

When defining categories of the different trading styles within active CTA investment management, unique aspects of their internal processes are observed.

Choosing programs across a spectrum aids in blending together unique investment styles that are inherent to specific programs.

In an interview with the Financial Times, Capricorn CIO Mikkel Thorup discusses the case for the discretionary element in CTA investing when selecting a CTA strategy. The full article on ‘A true CTA will stick to a chosen path’ is available on the www.ft.com website.


Strategy Allocation

By allocating to several different strategies and not simply hunting returns, any portfolio will benefit from diversification and reduced volatility. This is the principle behind our investment philosophy to generating uncorrelated returns over the long term, achieved through the diversification of various trading styles and time horizons across all traded foreign exchange markets. The portfolio strategy is monitored under defined risk and volatility tolerances, as well as governing the use of leverage by individual strategies.

There are a number of benefits and controls that the portfolio signal generation process must adhere to, for example;

  1. The strategy is actively managed on a day-to-day basis
  2. A blend of uncorrelated strategies reduces portfolio volatility
  3. Strategy allocation adjusted to suit the changing economic outlook
  4. Notional funding investors can adjust the risk/reward profile
  5. Lower administration costs than managing several direct investments

 

CTA Strategy

Updated on 2017-02-21T10:07:20+00:00, by admin.