The novel currency and gold-focused CTA strategy run by ex-AHL director Christopher Cruden has marked its fifth anniversary with a strong double-digit showing in the first six weeks of the year.
Ex-AHL director Christopher Cruden’s novel currency and gold-focused CTA strategy Insch Kintore has marked its fifth anniversary with a strong double-digit showing in the first six weeks of the year.
Launched in early 2015, the fund – which trades gold as a base currency against G7 currencies on a rolling spot basis – is up 12.52 per cent so far in 2020, following a flat 2019 when it posted a -0.03 per cent return.
“Performance has been driven by the movements in gold prices, which have taken a few spikes up, as well as the blip in volatility towards the end of 2019, which was initially very helpful but later on less so,” Cruden told Hedgeweek on Friday (14 February). “At one point last year we were up 48 per cent but then that fell away, and we handed back 35 per cent when gold fell back.”
Kintore is a fully systematic trend-following programme whose trading style treats a commodity – gold – as a currency.
“It seems to be an approach that no-one else is doing. We’re not a gold fund, we’re not a CTA commodity programme, and we’re not a currency programme. I’ve even seen us described as systematic global macro, which was a new one on me,” he said. “What we are is a generator of absolute returns, and we have little or zero correlation to just about everything.”
Observing the prevailing market backdrop, Cruden noted how the fund has continued to perform despite multi-year low volatility across its target markets. The strategy, which currently manages under USD50 million, has made net 16.21 per cent on annualised rolling 12-month holding periods over the five-year life of the fund, with net returns since inception of 88.45 per cent.
“The curious thing is that we are trading gold and currencies and we have done well during a period of low volatility. You’d expect us, like other CTAs, to do well during high volatility. It’s actually fairly miraculous for us to have done so well in a low vol environment, so any future growth in volatility should be even better for us.”
He added: “CTAs as an industry and sector are a very hit and miss proposition. Unless something disastrous happens, which it has in the past and will in the future, they generally tend to do well. But the time spent in the waiting room can be long and expensive.”
Veteran currency and commodities manager Cruden last year joined up with Linear Investments, the well-regarded prime brokerage and discretionary hedge fund incubator business established by Jerry Lees. Linear is in the process of launching an offshore retail version of Kintore’s strategy, with Rudolf Wolff, the London-based specialist fund management company, as investment manager.
“The advantage for me is that now I just do trading and research, which is what I enjoy doing,” Cruden said of the partnership with Linear. “It gives me the ability to do things in the US which I haven’t done for nigh on 20 years.”
