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Short-term AI-based CTA passes USD100m in AUM

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While the application of artificial intelligence (AI) in asset management has become a much discussed topic over recent months, Frankfurt-based fund manager Tungsten Capital already has a three-year live track record with its short-term CTA Tungsten TRYCON Basic Invest HAIG.

The alpha strategy, driven by algorithms of artificial intelligence, was launched in September 2013 and passed USD100 million in assets under management for the first time this month. It has a Sharpe ratio of 1.03 and has provided gains of 4.33 per cent YTD.
Pablo Hess (pictured), one of the minds behind the strategy, attributes the sound results predominantly to the firm’s quantitative models based on artificial intelligence.
“In contrast to traditional strategies, the TRYCON portfolio is able to dynamically and seamlessly alternate between positions which can roughly be classified as a momentum or as a contrarian style. With this approach, we aim for a more balanced performance than that typically achieved with the puristic strategies alone,” says Hess.
The Frankfurt firm is marketing the Tungsten TRYCON fund as a pure alpha strategy, backing its claim with the strategy’s low correlation with all major liquid asset classes.
Lutz Klaus, chief investment officer at Tungsten, says this is well-considered: “We put great emphasis on offering our investors only pure solutions, which means we do not mix alpha and beta within our products. In our view, the decision about the desired dose of alpha and beta belongs to the allocator alone.”
The fund has a combination of low correlation, attractive performance and a moderate level of volatility of around 6 per cent.
The fund has seen steady inflows over the last three years as assets under management have passed the USD100 million milestone in September for the first time.
Hess says: “We are very pleased to see the acceptance in the market as it confirms our decision to develop innovative strategies which can find opportunities beyond the traditional sources of return.”
Tungsten TRYCON Basic Invest HAIG is structured as a UCITS compliant Luxembourg fund offering daily liquidity.

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