FRM Sigma, the CTA fund of funds managed by Financial Risk Management (FRM), has seen its assets double in the last twelve months, reaching nearly USD700 million at the end of April 2011. Based on the current rate of inflows, Sigma is projected to reach USD1 billion in assets by the end of 2011.
Over its five year track record, Sigma has consistently demonstrated its ability to outperform other CTA funds of funds as well as many premier single manager CTAs. Since inception in November 2005, Sigma has generated total net returns of over 103%, including a net return of 17.5% in 2010 and 36.4% in 2008.
Marc Fisher (pictured), Managing Director at FRM, says: “Sigma’s outperformance is directly linked to our distinctive approach. The fund performs more like a premier CTA than a traditional fund of funds.
“We comprehensively evaluate the CTA universe to find the best advisors and invest in an active basket of these CTAs using managed accounts. This provides transparency, liquidity and control, and allows us to dynamically adjust allocations to maximise performance.
“Sigma helps give CTA investors peace of mind. It targets the performance of a world-class single CTA, but mitigates many of the risks of investing with a single CTA.”