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Christian Schaer Benedicte Gravrand, Opalesque Geneva:
A2CT2, a Geneva-based commodity CTA shop, has just celebrated the 6th anniversary of its flagship, the Commodity Absolute Return Fund (CARF).
The first share class of the Fund, CARF A, is an unlevered alpha strategy. It was down 1.92% in October and up 3.23% YTD, annualising +5.3% since inception (and 8.3% since March’10, when the managers started balancing sectors). By comparison, the Goldman Sachs Commodity Index returned +9.75% in October and -0.46% YTD and the Newedge CTA index lost on all counts with -3.64% for the month and -4.98% YTD.
"When comparing to the GSCI, CARF A out-performed the GSCI by over 80% since inception in October 2005, with a volatility of 10.4% vs. 26.6% for the GSCI," said Christian Schaer, founding partner of A2CT2.
And after four straight months of gains, managed futures lost 1.50% in October according to the Barclay CTA Index, which was down 2.30% YTD. "A revival of animal spirits sparked by an improving economic picture and the appearance of a solution for Euro zone sovereign debt problems spawned trend reversals in many of the major futures sectors," said BarclayHedge. The index is currently up 0.25% (est.) for November and -2.96% YTD.
A2CT2's Fund trades systematic short-term trend-following models – based on a 12-year "modelisation" – on a basket of exchange-trade...................... To view our full article Click here
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