Salus Alpha managed futures strat surges to 17% YTD
By Matt Smith
Salus Alpha has defied the struggles of the trend-following sector to return nearly 17% in its managed futures strategy over the first five months of the year, latest returns show.
The Salus Alpha Directional Markets strategy, which manages roughly $240m, hit a third consecutive month of gains in May, up 2.54%, to bring its YTD advance to 16.8%.
It comes as average YTD returns for the largest CTA managers climb into the black for the first time this year, according to Newedge’s benchmark index. However the largest trend-followers remain, on average, in the red.
Liechtenstein based Salus Alpha Capital, a pioneer in developing Ucits hedge funds, believes that while the principle role of managed futures strategies is diversification rather than equity outperformance, they should be capable of generating positive return in the current environment.
Low interest rates, the risk on/risk off environment, trendless zigzagging equity markets, volatile commodities and a difficult bond market, have been variously cited as reasons for lacklustre managed futures returns this year.
CIO Oliver Prock said: “I cannot share in widespread complaints about the recent environment since trends that you can identify and profit from are clearly there.
“Our approach is very different to most CTA’s and is designed not only to provide huge insurance payoffs in times of stress but also enables us to make positive returns in market environments that seem to be tough for our peers.
“Our ability to generate returns in seemingly tough market conditions is like taking out car insurance but having your premium more than just repaid when you don’t make a claim.”
Salus’ Directional Markets Strategy is fully systematic and adaptive to market environments, switching between trend-following and contrarian approaches and short and long term time frames across 100 futures markets worldwide.
The strategy is offered on Deutsche Bank’s dbSelect platform or as an Ucits fund gaining exposure to eligible components of the Vienna Stock Exchange listed DMX – Directional Markets Index.
