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By Matthias Knab: Here is a selection of snapshots of funds who reported positive results during August and/or July 2007.
CTA: Ampitude Capital
“It appears that big Multi Strategy Funds needed to raise cash by selling their most liquid assets, being large cap US equities in order to de-leverage their portfolios. The fall in the equity markets caught quant strategies on the wrong side, which are relying on factor based models using fundamental inputs or longer term momentum approaches. The effect was even stronger since some these quantitative long short equity funds had their long positions mainly in the large caps, whereas their short exposure was more on the small cap side, which at the end outperformed the bigger names, “ said Amplitude’s CEO Karsten Schroeder.
Within the CTA/Managed Future space the picture looks quite mixed. The shorter term strategies, such as Amplitude Capital’s Dynamic Trading Fund, were able to capitalize on the movements and the higher volatility since mid of July. The fund returned 5.56% in July and is up in August as well, according to Amplitude’s CEO Karsten Schroeder. These strategies provide the diversification at times, when the rest of the portfolio may come under stress. The good news is: There are still ways to make money these days.
London based Amplitude's fund, launched in June 2005, is up 12.71% YTD. The strategy trades $117m in highly liquid exchange-traded futures including equity indices, foreign exchange an...................... To view our full article Click here
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