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Alternative Market Briefing

Another good year for Swiss short-term trading shop Amplitude

Tuesday, January 29, 2013

Benedicte Gravrand, Opalesque Geneva:

Swiss CTA shop Amplitude Capital, which runs three short-term trading programs, has kept on doing very well since we last reported on them last summer.

Amplitude Klassik (A share), launched in September 2009, was slightly down in December 2012 (-0.17%) but is up 17.35% for 2012.

The fund trades liquid exchange-traded futures across equities, FX, fixed income and commodities. The strategy is based on a systematic and fully automated directional short-term program. It uses extensive quantitative analysis of real-time price data and sophisticated portfolio methodology to detect ultra-short to short-term market trends and reversion.

Amplitude’s flagship fund, the Dynamic Trading fund (C share), launched in June 2005, is up 0.80% in December and up 1.33% for 2012. It runs a similar program to Klassic’s.

In December, Dynamic profited from equity performance, in particular from its European and Asian net long positions. Klassic benefited from its small to mid-size long positions during the year-end rally. Bonds were the worst asset class this month, as the programs were affected by the downward trending markets by not switching to the short side on time. Currencies delivered solid returns with the EUR/USD faring best. Commodities deliv......................

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