Gold-focused trend-follower Insch Kintore withstands “rapid reversals” in commodity

Related Topics
Gold bullion

Insch Kintore, the currency and gold-focused CTA hedge fund run by ex-AHL director Christopher Cruden, remains up this year as the precious metal continues on its rollercoaster ride.

The systematic trend-following programme generated an 8.45 per cent gain in the first half of 2021, and while its advance was halted during July and August, the fund has stayed positive to the tune of 6.5 per cent year-to-date, almost double last year’s annual return of 3.39 per cent.

In contrast, gold is down roughly 4.5 per cent since the start of 2021, having dropped 6.5 per cent over the last 12 months.

The precious metal has been on a rollercoaster ride this year, enduring “some pretty rapid reversals” as well as spiking up, Cruden observed.

The novel strategy, which marked its sixth anniversary in February this year, approaches gold as a currency, trading the precious metal as a base currency against G10 currencies on a rolling spot basis.

The algorithm-based quant hedge fund takes an agnostic stance on the direction of gold, and instead trades the volatility of the daily price changes in the 10 currencies against gold as FX crosses. The system looks to generate consistent alpha from buy and sell signals are derived from price breakouts, volatility and other proprietary signals.

“From a trend-follower’s perspective, it’s not been ideal to say the least,” the veteran gold trader told Hedgeweek on Thursday. “It’s been difficult, because there have been a few good moves we’ve caught. But the great curse of trend-followers is that we then get whipsawed.”

Reflecting on the prevailing market landscape, Cruden, a former director at managed futures pioneer AHL, added: “What we do know is that these periods do end, and when they end they tend to end in spectacular fashion. I don’t know whether that will be an up move or a down move, but this period will be over and when it is I suspect it will dramatic, along with other market moves which have been a one-way-street for way too long.”

Launched in February 2015, the Kintore strategy has generated some 86 per cent net return since inception, and today manages more than USD50 million in assets.

Author Profile
Hugh Leask
Employee title
Editor, Hedgeweek