Bailey McCann, Opalesque New York:
Following months of seeing nothing but negative performance and asset outflows from managed futures funds, Qbasis Invest offers another view. The flagship "I Trend" CTA strategy returned 25.2% gross in a managed account format and 40.78% net in their Deutsche Bank issued certificate with 200% participation.
The firm also manages an equity long/short program which was launched last year. That program returned +5.47% net, year to date – beating the S&P benchmark.
In a performance note obtained by Opalesque, Qbasis CEO Philipp Pölzl said the performance is largely due to how the commodities within the managed futures program are weighted.
"We have always stressed that a commodity weighting that is roughly 80-90% greater than some of the largest, capacity constrained CTAs is a key differentiator to our program in that we're able to risk small amounts in markets that aren't traded by many of our competitors. We also implemented some strategy enhancements last year that have proved to be extremely useful, notably our V-protection and Vol-protection models that mitigate against V-shaped reversals and periods of declining volatility respectively. Both of these scenarios have historically presented big problems for CTAs however we now have something in our armour that can dramatically reduce our downside deviation in such periods without compromising on our historical upside. We've seen this time and time again this year......................
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