The manager noted that with the exception of Relative Value, most strategies struggled as markets generally lacked direction in June, with trading characterised by choppy price movements. The month also saw an uncharacteristically high level of correlation between the fund's longer-term directional trading with those trades generated via shorter term signals.
1 year return: +30.17%. Annual (Oct.1996): +18.73%
The manager also noted that key volatility indices were lower to flat, with risk barometers like the VIX falling to lows not seen since Lehman Brother's collapse last September. Those systems that were active returned losses as a result of the late month ranges in currency and equity markets.
Argus' trading style is based on the systematic application of a group of non-correlated systems to a broad range of more than 75 global futures markets. The fund's manager, Steven Biggs, has a track record dating back to 1996, and commenced trading client's funds in June 2005, returning a compound annual return of over 17% since that time. FUM is US$23m.
