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Alternative Market Briefing

Amplitude's Klassic CTA up 29% in 2016

Monday, January 09, 2017

Benedicte Gravrand, Opalesque Geneva:

Swiss CTA manager Amplitude Capital can boast outperformance for one of its short-term trading strategies.

The Klassik strategy, which trades equities, FX, fixed income and commodities, returned 29.39% in 2016, after delivering 3.53% in December.

CTA indices did not fare all that well last year, even after some recovery in December. The Barclay CTA Systematic Traders Index is down 1.4% for the year after returning +0.45% in December (the Barclay CTA Index was down 0.9% for the year, and the Barclay Hedge Fund Index up 6%). The Lyxor CTA Short Term index was down 5.3%, after recovering slightly in December thanks to the currency bucket, equities, and a switch to short-duration positions in rates. And the SG Short Term Traders Index was up 0.31%, after returning 1.47% in December.

Three out of four asset classes contributed to Klassic's positive result in December. Equities were the best sector due to successful trading in all regions, especially in Europe and the US, with the DAX (+17.7% in the last 12 months) and S&P500 (+21%) being two the top performing instruments. Small ......................

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