Stockholm (HedgeFonder.nu) – Spektrum, the model based trend following fund within Coelis alternative fund strategies, Select, returned an impressive 6,57% in July. With only one in eight funds of Barclay CTA index having reported their numbers so far a comparison to benchmarks is hard, but a quick look at comparable strategies does indicate Coelis system may well have shown very strong results also on comparative basis. Barclay CTA Index indicates plus of 0,4%, the sub index composed of the largest industry representatives BTOP50 Index is up 0.12%. For a comparison of different CTA indices, please click here.
The fund launched in June 2008. Stockholm based fund Managers Björn Elfvin and Ingemar Bergdahl systematically trade 34 markets using two quantitate models. The portfolio can be made up of equity indices, commodities, fixed income instruments and currencies from the US and Europe. The majority of returns are made through trend following models, while roughly a quarter of signals are generated by counter-trends.
„Intra month the fund was even up 14%“, Björn Elfvin tells us over the telephone. “We had very strong profits in our long positions from the agricultural sector, such as wheat and corn as well as Bonds, especially German Bund and Schatz papers. The drought in the Midwest corn chamber of the US has been a strong macro driver to price appreciations in agricultural markets”.
The model identified and entered trend in these markets from mid-June on through the mid of July until they were exited again. Corn for instance ran to its all-time high price peaking at 8,17 USD.
“Both our agricultural and bond positions reversed around the 23rd or 24th of July and got stopped out. This occurred with around ten position
s of the 34 we trade almost simultaneously”, Björn told us. The fund reached its highest daily price on July 20th before coming back to close the month on its highest monthly NAV since inception
It is within the characteristics of (largely pure) trend following to give up a quite a large portion of profits after strong price appreciations. The fund typically would be largely invested, with high margin to equity ratios, market prices are quite a bit above stops that would trigger an exit of individual positions. It is the everlasting dilemma of trend followers that by definition of “following a trend” they never enter at the lowest market price, or exit at the highest (in a long trade). Much rather, it takes time and price moves to confirm a trend has been established from the bottom and you need to give the trend some reverse movement to define the trend is over. One can compare it to a hamburger, where you may choose to go for the big juicy piece of meat in the middle, and give up the bun surrounding it.
At the end of such periods, margin to equity ratios tend to be lower while cash positions are higher, until the fund built up new positions – and hence risk that can lead to profit or loss.
On monthly levels, July falls in line with former results the systems produced, for example December 2010 when Spektrum returned 8,81% or April 2011, when the fund had its highest monthly return with 9,13%. The biggest loosing month was January 2010, when the fund lost 4,6%.
Assets under management by the Spektrum systems are growing and are currently at the highest level since the fund started at around 450 MSEK.
Article reposted from http://hedgefonder.nu/2012/08/saftig-avkastning-for-spektrum/
Picture: (c) H.Kroh—pixelio.de