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Alternative Market Briefing

Canadian CTA Acorn Diversified Program up 13% YTD

Friday, September 13, 2013

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Jason Russell
Benedicte Gravrand, Opalesque Geneva:

Here is a Canadian macro CTA that is outperforming its peers thanks to a blending strategies method and to an exposure reduction algorithm.

The Acorn Diversified Program gained an estimated 0.07% for the month of August and 13.08% year to date. It is managed by Acorn Global Investments Inc., a Canadian CTA/Macro manager located in Ontario.

Acorn focuses on highly liquid investments and seeks to diversify extensively through a wide variety of global asset classes including currencies, bonds, short-term rates, energies, metals, equities and agricultural markets, using multiple strategies with low to negative correlation. Launched in July 2009, the fund returned -5.9% that year, +15.3% in 2010, -5.9% in 2011 and +1.14% in 2012. The fund’s prime brokers are Newedge and IB.

The HFRI Macro: Systematic Diversified Index was down 1.84% in August 2013, -3.54% YTD; the HFRI Macro (Total) Index -1.20% and -2.28% YTD; and the Barclay CTA Index returned -0.60% (est.) and -2.33% YTD.

The managers at Acorn say their fund’s outperformance is down to their method of blending strategies, as well as employing an exposure reduction algorithm that provides them with a signal to reduce system-wide market exposure.

The $50m fund gained from long positions in platinum, gold and silver in August, as well as softs and stock indices.

Silver Nicholas Markos, Acorn’s manag......................

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