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Digital Subscriptions > The Hedge Fund Journal > Issue 140 – Apr | May 2019 > Tiber Capital’s Short-Term Trading CTA UCITS

Tiber Capital’s Short-Term Trading CTA UCITS

20 years of adaptation

Tiber Capital was founded in 2011 but its origins date back 20 years to the launch of a research company in 1999. The firm traded only proprietary capital for over a decade and began accepting external capital in 2015. It has thus developed very differently from most CTAs and has also delivered a distinctive return profile.

Short term traders show much lower correlations to one another than certain other types of CTAs, and a decent number of managers (some members of the SG Short Term Traders index and others, such as Tiber, that are not members) have delivered single digit annualised returns with portfolio diversiication benefits in recent years. Tiber Capital has shown a slightly negative correlation to equities; near zero correlation to the Soc Gen CTA and Short-Term Traders indices, and to both indices’ individual constituents. The strategy has received The Hedge Fund Journal’s ‘UCITS Hedge’ award for best shortterm trading CTA, based on risk-adjusted returns over 2017 and 2018.

Indeed, another distinguishing feature of Tiber’s return profile has historically been that the maximum drawdown – of 6% since 2014 – is much smaller than that of other CTAs, which have often seen 20-30% drawdowns over the past five years. Tiber’s low drawdown is partly a function of its low volatility, and when adjusted for this, the difference from other CTAs is smaller. The shallow drawdown is also related to Tiber’s positively skewed return pattern, which is more pronounced than that of many tactical trading managers. CTAs have shown positive skew over multi-decade periods, but over the past five years the skewness (using monthly data) of most names in the space has been negative. Tiber’s downside control, in turn, is partly due to strict stop loss rules that automatically exit positions – and can liquidate the whole portfolio – based on preset price and time metrics. Conversely, winning positions can run for longer periods.

“The obsessive application of our risk rules makes it possible to have not only restricted downside volatility, but also adds very compelling positive skew and convexity,” says CIO, Mauro Taratufolo.

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Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.