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Beverly Chandler, Opalesque London: Zenith Investment Partners has just released its 2013 CTA / Macro Sector findings. Daniel Liptak, Head of Alternatives said: "With the performance of many CTAs struggling over the last 18 – 24 months we believe that it is timely to consider the function and utility such funds can make to a portfolio."

Zenith believes that CTAs are an important strategy that should be considered as part of a diversified portfolio, particularly as over the medium term CTAs have historically provided an offset at times of acute equity market stress. "This observation is the likely cause of many investors believing that CTAs are long volatility, when in fact they are long gamma (they become more exposed to a trend as it becomes more pronounced, regardless of direction). Being long gamma allows this investment style to take advantages of being a liquidity provider in markets undergoing forced sales. Investors in CTAs need to understand that not all market conditions are conducive to positive returns and, indeed on a standalone basis CTAs can disappoint" Zenith says.

While Zenith believes that medium term CTAs can act as an offset in dislocated equity markets, they are hesitant to class CTAs as being un-correlated to equity markets, believing that they are on the whole non-correlated to equities. "This is an important observation, as this suggests that the returns from CTAs are independent......................

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