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Benedicte Gravrand, Opalesque Geneva:

The managers of Swiss CTA Amplitude, who already run three short-term trading strategies, are following their own call for portfolio diversification. They took the medium-term trading route with a new strategy fittingly called Adagio, launched on 1st September.

"We have been trading short-term for a long time, while preaching to our clients that diversification, that is, exposure to different trading frequencies and styles, is very important" head of investor relations Heiko Zuehlke tells Opalesque. "So it makes sense for us to diversify too; not just to stay in the niche we have occupied in the last 12 years but to go above and beyond that. We started diversifying in terms of investments last year with the launch of the Vivace strategy, a short-term, systematic program which trades cash equities and equity derivatives. The medium-term trading space seemed a natural next step. We are slowly moving towards longer holding periods."

Amplitude’s Dynamic strategy has an average holding period of 1.5 days, ranging between 2-3 hours and 3-4 days (it returned +16.7% YTD to end-July). Klassik’s holding period is 1.5 weeks, ranging between 3-4 days and 3-4 weeks (+31.3% YTD). And the Adagio strategy trades every 3-4 weeks to 3-4 months – an average holding period of 30 days.

Adagio is a systematic medium-term momentum strategy with some reversionary components and a degree of pattern recognition, trading more than 150 inst......................

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