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Alternative Market Briefing

Swiss CTA Amplitude provides smooth short-term trading outperformance

Tuesday, September 18, 2012

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Karsten Schroeder
Benedicte Gravrand, Opalesque Geneva:

Swiss CTA shop Amplitude Capital has a lot to be happy about. It is celebrating the three-year anniversary of its second Cayman-domiciled managed futures fund with a 21.6% YTD performance (3.89% in August, 2012) and some awards to boot.

The fund in question is called Amplitude Klassik. Launched in September 2009, it has annualised 4.14% p.a. (to end-August). The fund trades liquid exchange-traded futures across equities, FX, fixed income and commodities and its strategy is based on a systematic and fully automated directional short-term program.

Amplitude’s flagship fund, the Dynamic Trading fund, launched in June 2005, is up 5.50% YTD (-2.77% in August). Sinfonie, the firm’s third fund and a blended version of both programs, returned 1.95% in August and is up 16.10% YTD.

The Klassic and Dynamic programs started going long on equities at the end of July, benefitted from the upward trend, and slightly reduced those longs throughout August. Bonds were down that month but the Dynamic system made small gains there and the Klassik program some losses. Currencies were also a difficult segment to navigate and the worst-performing one. Commodities, on the other hand, led to positive results, especially with long trades in energy.

According to BarclayHedge, managed futures funds reported on average lukewarm performance YTD. They did well ......................

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