Classic CTA profile enhanced with recent innovations
Broadly diversified by assets and strategies
The dominating strategy in the FTC Futures Fund Classic is trend-following. The original trading system dates back to 1995, but has since been continuously refined into a set of strategies diversified across different time frames. Additionally we apply short-term models and opportunistic strategies for further diversification. The current blend of strategies shows a highly positive correlation with common CTA benchmarks (such as the Barclays CTA Index or the SG Trend Index) leading to a reliable payoff profile: Superior returns in persistent, volatile market trends, particularly high returns in prolonged stress markets such as between 2007 and 2008. However, medium- to long-term trend-following strategies had a weak phase in the central bank-driven environment following the global financial crisis and the fund experienced some negative years. The current diversification by strategies is complemented by a broad diversification across all liquid asset classes: Commodities, currencies, equities, bonds and short-term interest rates.
Figure: The expected payoff profile of CTAs is similar to that of a "long straddle" in options trading: profits are expected during pronounced trends with relatively high volatility, losses during (volatile) sideways phases.
Stocks and CTAs: "A match made in heaven"
Adding trend-following CTAs to traditionally constructed portfolios of stocks or stocks and bonds improves risk-return ratios - this observation, subsequently often confirmed, was made as early as 1983 by John Lintner, Harvard University economics professor and co-founder of the Capital Asset Pricing Model. Most recently in 2017, Hurst, Hua & Pedersen analysed data from 67 markets since 1880 for their study "A Century of Evidence on Trend-Following Investing" and found, among other things, that momentum would have performed well in eight of the ten most severe crises, defined by the largest drawdowns of typical 60/40 portfolios. However, in trendless markets or in the event of frequent trend reversals, investors of momentum driven strategies should expect drawdowns which can be significant.
Price & Performance
Marketing communication. Performance data was calculated according to the OeKB method. Performance data takes the management fee into account. The front load of up to 4.5% that may be payable on purchase, depending on the distribution channel, as well as any individual transaction-related or ongoing income-reducing costs (e.g. account and custody account fees) are not included in the presentation. Past performance is no reliable indicator for future results. Investors should expect increased volatility.
Class B USD: Performance might be effected by currency rate changes (from the perspective of an investor whose calculation currency is non-dollar).
Class C EUR: Launch of the share class was February 3, 2018; the performance before is based on the net performance of the retail class B EUR (= performance before management and performance fees) and the actual fees of the institutional class C EUR.
FTC Futures Fund Classic may invest substantially in exchange-traded futures and demand or callable deposits with maturities of 12 months or less.
EFA - European Fund Administration (LUX)
FTC Capital GmbH
Daily (banking days)
Quintet Private Bank (LUX)
SHARE CLASSES | ISIN | BB TICKER:
C EUR (Institutional) | LU0888918488 | FTCFUCE LX
B USD | LU0550775927 | FTCFUTU LX
B EUR (Retail) | LU0082076828 | FTCFUTF LX
100.000,- (C EUR)
25.000,- (B USD)