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Alternative Market Briefing

Long-term trend-following CTA up 18% YTD

Thursday, July 07, 2022

B. G., Opalesque Geneva:

Here's another CTA that is winning the markets. The Smn Diversified Futures Fund is currently up over 18% YTD after returning almost 5% in June.

"Crisis Alpha has been the main issue this year," Joseph Waldstein, managing director at Smn Investment Services GmbH, tells Opalesque. "Once again, our product has been able to show significant crisis alpha in an extremely challenging environment for all asset classes except commodities.

"How have we been able to produce this crisis alpha? The main contributor was short exposure to government bonds (across the entire yield curve) across all regions. Short positions in Swiss rates and the Eurodollar market were the main performance driver, but short positions in the latter part of the yield curve were highly profitable as well. Besides short rate exposures, the long USD exposure across a variety of FX markets contributed significantly to the overall crisis alpha. Finally, long positions with energy (especially natural gas and German electricity markets) & crops (corn and wheat exposures) markets were highly profitable as well."

Crisis alpha is a relatively new term used to describe investment strategies designed to generate positive returns during equity market panics. (See: In search of crisis alpha.)

The fund returned almost 41% in 2021, and that performance was mainly driven by commod......................

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