The net asset value of Castle Alternative Invest rose 12.6 per cent in 2009 in US dollar terms, according to lead portfolio manager Thomas Weber of LGT Capital Partners.
In its 13 year history the company has a delivered 11 years of positive performance.
All four styles in which the company invests – long/short equity, event driven, relative value and CTA/macro strategies – provided positive performance in 2009.
In early 2009 LGT moved CTA/macro allocation away from systematic traders and increased exposure to global macro managers, which helped the company outperform the HFR Fund of Funds Index for the period from 1 January 2008 to 31 December 2009.
LGT remains overweight discretionary macro and underweight systematic traders because markets are not subject to major dislocations, which have been the prime opportunity for systematic and short term traders, says Weber.
Castle Alternative Invest still has a high exposure to CTA/macro managers (currently 35 per cent) when compared to the other large multi manager alternative vehicles listed on the London Stock Exchange.
In 2009 Castle Alternative Invest’ CTA/macro allocation produced an overall return of nine per cent.
Weber says managers in this space are able to be nimble with risk and direction, and most can take advantage of both sides of a trade, for example they can go long or short equities.
“CAI's long term track record and its NAV performance throughout the credit crisis shows that being materially exposed to this space reduces volatility and market beta, and helps create superior risk adjusted returns. We regard this part of the hedge fund universe as critical to the success of managing a truly balanced product,” says Weber.
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