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Trading Strategy: Global / Systematic Long-Short
For Non-US Investors Only
Program Description: The FTC Futures Fund Classic trades a broadly diversified universe of liquid futures contracts in all sectors (stock indices, fixed income, currencies, commodities).
The fund has a core allocation of short, medium and long term trend following systems allocated equally amongst the 4 sectors (equity, commodity, fixed income and currencies). Approximately 70 percent of the fund's exposure is to trend following systems with an additional allocation to a number of non-correlated systems to offer extra diversification. Weighting of systems and markets are rule-based, as are entries, limits, stops and position sizes.
The objective is to provide the desirable features of trend following (positive correlation in up trend cycles, negative correlation in down trend cycles) with an emphasis on loss control and providing superior risk adjusted returns.
Investment Information
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | -5.97% | -1.22% | 4.45% | 4.50% | 0.34% | 2.71% | 2.53% | 6.32% | -8.57% | -8.60% | 4.95% | -2.76% |
| 2020 | 1.89% | 0.70% | 11.18% | -0.31% | -3.74% | -3.35% | 5.47% | 1.27% | -7.74% | -2.27% | -1.39% | 9.18% |
| 2021 | -1.51% | 11.49% | 2.36% | 2.11% | 0.94% | -1.30% | -2.17% | -1.83% | -0.20% | 4.42% | -7.63% | -1.83% |
| 2022 | 3.22% | 2.31% | 6.59% | 6.00% | -2.09% | 2.49% | -3.90% | 3.79% | 6.17% | -1.80% | -5.67% | 0.35% |
| 2023 | -2.20% | -0.09% | -7.48% | 1.46% | 3.36% | 0.37% | -2.31% | -1.61% | 4.43% | -1.01% | -5.22% | -0.79% |
| 2024 | -1.49% | 6.04% | 4.17% | 0.64% | ||||||||
| 2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
|---|---|---|---|---|---|---|
| ROR | -2.87% | 9.69% | 3.77% | 17.86% | -11.10% | 9.51% |
| Max DD | -16.43% | -11.92% | -10.42% | -7.37% | -11.10% | -1.49% |
Track Record Prepared By: Deloitte S.A., Luxembourg
