FTC Futures Fund Classic

Classic CTA profile
enhanced with recent innovations

Managed Futures, also known as Commodity Trading Advisors (CTAs), date back to the 1960s and, because of the consistent characteristics, are considered an asset class of their own. Possibly the most important: The highest profitability of CTAs is expected during bear markets.

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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.

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.

 

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Price & Performance

FTC Futures Fund (C EUR)

FTC Futures Fund
(C EUR)

ISIN: LU0888918488

as at 22.09.2021

18,47 €

Day

0,93 %

Month

-4,60 %

Year to Date

4,88 %

1 Year

8,71 %

3 Years

8,26 %

5 Years

6,76 %

FTC Futures Fund (B USD)

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.

Investment Information

DOMIZILE:
Luxembourg


LEGAL CONSTRUCTION:
AIF SICAV


ADMINISTRATOR:
EFA - European Fund Administration (LUX)


AUDITOR:
Deloitte (LUX)


AIFM:
FTC Capital GmbH


LIQUIDITY:
Daily (banking days)


 

CUSTODIAN:
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


DISTRIBUTIONS:
None (accumulating)


MINIMUM INVESTMENT:
100.000,- (C EUR)
25.000,- (B USD)