| Report Date | 22 February 2010 |
| Manager | Argus Capital Management |
| Fund Name | Argus Dynamic Multi-strategy Program |
| Strategy | Commodities/CTA |
| Latest Return Date | January 2010 |
| Latest Return | -8.14% |
| Latest 6 Months | -10.56% |
| Latest 12 Months | -9.83% |
| Latest 24 Months | 24.08% |
| Annualised Since Inception | 16.74% |
| Inception Date | 01 June 2005 |
| FUM (millions) | US$27 |
| Fund Overview | The core trading strategies employed include Short-Term / High Frequency Trading, Relative Value Trading, Wavelet Analysis and Long-Term Trend Following. These strategies are applied to 75+ futures markets including interest rates, currencies, commodities and stock indices. |
| Manager Comments | January was difficult month for all Commodities/CTA managers and Agrgus Capital Management's Dynamic Multi-Strategy Fund was no exception, falling 8.14% in the month. The manager says that one of the key inputs into their allocation methodology is analysis of the interaction of various market-system combinations amongst each other. This means that the manager tends to invest in markets which tend to not coincide their movements with other market clusters.
Over the past two years this strategy has seen the fund return 42%, however in January the fund was overweight in three impacted markets - Soybean Oil, Crude Palm Oil, and a grouping of minor European stock indices. All of these suffered significant price reversals at various times throughout January which resulted in a larger than expected loss for the month.
The manager expects that over time allocating to more independently performing markets is an appropriate strategy, even though over shorter time periods there may be occasional underperformance relative to other CTA's. |
| More Information | » View detailed profile of this fund |
