CTA strategy signals

CTA Strategy Signals, May 2017

CTA Strategy Signals

Following a fairly weak start to the year the US economy is looking to make a rebound and show strength from economic boost instead of the intermediate spurts of growth as a result of politically driven factors. The reasoning behind this is reflected in a favourable backdrop driven by US consumers and supported by a robust labour market, keeping economic fundamentals in good shape. That said, there is currently little sign of any acceleration in activity or inflation, and any potential stimulus from the Trump administration is not a definite decision in potential policy making. The gently positive momentum displayed this year in sustain global economic growth appears to remain intact despite the swings in short-term market sentiment impacted by political events. In the Eurozone the economic indicators received a boost following the French election and the upbeat numbers in growth and expansion data supports a view of a region that shows broad signs of recovery.

Strategies trading the currency markets benefited from trending patterns that emerged throughout the month. The politically driven events centred on the Eurozone government elections spilled over to a broad rallying of the common currency that was sustained over the duration of the month. This pattern benefited CTA strategy signals and was a welcome change to the fluctuating range bound markets which dominated the currency trading environment at the start of the second quarter of the year. Volatility increased with technically driven trends showing signs of continuation or quick reversals as the markets reacted to shifting economic sentiment that would lead on to new trending periods.

When investing in a diversified managed futures strategy, having a broader view reduces the risk of increased correlation between invested asset classes. This was a clear benefit when seeking CTA strategy signals across a range of different markets as the price patterns that were exhibited over the past month differed from market to market. Signs of a strengthening US economy as well as a bolstered Eurozone lifted global equities but that usually comes at the expense of softer interest rate markets. The commodity markets were pressured by a slowdown in China as global demand dips, however as a turnaround in volatility and price movement opportunities for new trending environments appeared as the markets seeks confirmation of a new direction.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.41% 0.31% 1.79%
fxST(3x) Directional Strategy JAN-1999 16.24% 0.93% 5.44%
Trend I (FX-only) Trend Following JAN-2010 11.50% 1.28% 0.01%
Trend II (Diversified) Trend Following JAN-2013 20.06% 0.26% 5.13%
FX Core Multi Strategy JAN-2010 19.35% 1.30% 2.09%
FX-DM Systematic Systematic Trading OCT-2014 51.04% -1.25% 1.85%
Intraday Trend - FX Systematic Trading MAR-2015 47.53% -1.68% 7.89%

Note: Results of the Capricorn CTA Strategy Signals are calculated as of Wednesday 31st May, 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.