June 2017: Altaica Alpha Strategies Fund: -2.52%

Recently Bloomberg posted an interesting article about the CTA hedge fund strategies, https://www.bloomberg.com/professional/blog/quant-funds-chase-trends-years-biggest-losers/ . It started with: “Between sleepy movements in global assets and short-lived macro shocks, programmatic investors who make their fortunes chasing momentum have had a particularly rough year. In fact, by some measures, commodity trading advisers are on track to post the worst yearly return since 1987, when data were first collected on the group.”.

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Altaica Multi Alpha Strategies Fund is for at least 50% invested in CTA strategies. In this way we all feel the pain. Measured in US Dollar the average performance of CTA strategies is -5% YTD 2017. The year was already not inspiring but June was the killer, the sector plunged by 5.1%, the worst drawdown ever measured within one month. There was a toxic combination of a simultaneous selloff in stocks and bonds, together with the strengthening of the Euro resulted. The only working trend last year was Equity Long. This is the smallest allocation in CTA strategies. Also this is not very helpful when you are looking for a diversifier in your portfolio. Diversification is the mean reason to buy CTA strategies. This make it impossible for CTA managers to increase their equity significantly.

When a strategy is facing its worst period ever, you don’t expect inflow, especially in a period in which active management and high management fees are not the investment favourites, more over the only way to invest look like Exchange Traded Funds (ETF’s). Surprisingly the Bloomberg article proves this expectation is wrong. the professional investors are increasing their allocation to CTA managers. Resulting in a new all time high allocation to CTA. The question why can be simple, when bond, real estate and stock markets valuations are near all time highs in valuation those professional investors are looking for diversification. The only alternative there is are CTA managers.


The US Dollar is causing the biggest part of the losses. Otherwise the fund could present a positive year to date return. The fund is still one of the best diversifiers to every investment portfolio With a near zero correlation to the equity, real estate and bonds Altaica Multi Alpha Strategies is the fund you need in your portfolio at the moment the shit hits the fan!May was a mixed month in which the returns were affected by the movement of the US Dollar against the Euro. Secondly our Asian Long Short manager had a terrible month and CTA managers performed on average also poorly. Within the CTA managers the performance differences were however huge. The more traditional managers were suffering serious losses. In the same time the more alternative CTA’s did a great job. Strategies like currency and volatility trading are missing volatility to perform. Without big winners it all came down to the US Dollar, the slump of more than 4% during one month made the difference. When we would calculate our result in US dollars the return was more than 1% positive.