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Hugo van Kuffeler Benedicte Gravrand, Opalesque Geneva: CTAs have been doing well in the last few months. But not as well as Old Park’s.
The Maestro strategy is up +20.48% YTD after returning 1.6% in October 2014 just as the Barclay CTA Index was up 0.14% (est.) and up 4.54% YTD.
The Maestro Managed Futures Strategy is a systematic trading program that arbitrages the daily variation in the valuation of highly liquid exchange traded index futures over a number of time zones. It is not a trend following strategy and it does not use leverage. It has annualized over 25% since January 2007 with a volatility of 10%, without a down year.
"The Maestro strategy delivers performance from the dynamic of volatility in the underlying instruments it trades (Eurostoxx Futures and S&P Futures)," Hugo van Kuffeler, Old Park's CIO, told Opalesque. "Increasing volatility is an environment where the strategy can deliver outsized returns."
"As we saw in the first two months of 2014 when volatility on the VStoxx increased from 16% to 24% due to fears of Russia’s intentions for Ukraine, beginning of QE Tapering which triggered fears of an emerging market crisis. This meant that the strategy delivered +12% in the first 2 months of the year."
"Even though volatility fell off a cliff in March after Draghi announced that he would do whatever is required to shore up markets, the strategy was only -1.12% in March due to the strict stop ...................... To view our full article Click here
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