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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...................... To view our full article Click here
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