Niche CTA


Q3 2026 YTD +8.55

Niche CTA


A classic trend-following model. Highly diversified and able to exploit smaller markets. The model is complemented by mean reversion and the carry effect. It is available only in an SMA. There is a small but persistent negative correlation with the S&P 500. The Track Record dates back to September 1997. It is 100% exchange-traded and NFA-regulated.


JUL


July was a tough month, with several markets experiencing sharp reversals and many others languishing in sideways patterns. Central bank intervention to support the Yen drove a high-volatility reversal, causing losses for existing shorts. There was also some spillover into the European currencies, leading to more small losses. Grain prices rallied strongly during the month, creating losses for short positions across the complex. Milk also rallied, once again producing losses for existing shorts, and the story was exactly the same in Lean Hogs. Against this, the profits were few and far between. There were some small gains from falls in European and US fixed-interest prices and from strength in oil prices. While equity indexes have been generally stronger this year the best performer for the Niche portfolio is the Swiss Market Index, which has had the smoothest move so far.


AUG


The main themes driving performance in August were the continuation of the Iran war, the steady march upward in interest rates, and the possibility of the El Niño weather system affecting agricultural production. These had mixed effects on the Niche portfolio, with long positions in energy remaining profitable as oil prices continued to climb, and short positions in interest rates doing the same as rates crept up. Meanwhile, shorts in wheat and sugar lost as prices strengthened, and the portfolio subsequently repositioned to long. Outside these themes, shorts in Bitcoin posted losses, while the existing short position in milk continued to return profits. Stock indexes were generally sideways to stronger, with the Singapore index once again being the standout


SEPT


Strength in energy prices associated with the continuation of the Iran war, and a sharp rise in interest rates across western economies were the main drivers behind the solid return for the month. There were some other contributors; notably short positions in milk, lean hogs, nickel and Swiss Franc. On the losing side, strength in the US dollar was expensive for long positions in the British Pound and Mexican Peso. Meanwhile, weakness in metals prices generated losses for longs in zinc and platinum. Finally, the weakness in European and some Asian equity markets meant that long positions in the Malaysian and Swiss indexes were closed at a loss. With oil prices remaining high, and now interest rates making a sharp move up, the US midterms will be interesting. 


Niche CTA

Summary Statistics

Sept 1997-Sept 2026

Ann RoR

8.03

Sharpe

0.39

Correlaton to the S&P500

-0.22

Max DD

-35.6

Vol

18.2

What happens if you combine Niche with the S&P 500 TR Index?

BLEND: 50-50 Equal Split

Summary Statistics

SEP 1997 - SEP 2026

Rebalance frequency: 6M


Ann.RoR

9.90

Sharpe

0.74

Correlation to the S&P500

0.52

Max DD

-15.8

Vol

10.50

VAMI Niche + S&P500TR Index

SEP 1997 - SEP 2026


The Gain to Pain Ratio = the sum of all the positive months divided by the sum of the absolute value of all the negative months




Gain to Pain Ratio

Shape

Vol

MAX DD

Niche

1.52

0.39

18.2

-35.6

S&P500TR

1.64

0.62

15.0

-50.7

BLEND

Niche + S&P500

1.97

0.74

10.7

-15.6

From Inception (Sept 1997)

Growth of $1,000

Niche

$9,466

S&P500TR

$13.998

BLEND

Niche + S&P500

$15,482

Sandbox provided the portfolio rebalancing calculations & summary report above. Sandbox is a highly interactive, high-speed, graphical portfolio discovery, comparison, and construction application that features data on ETFs, Mutual Funds, and Alternative Investments. For more information or to schedule a demo, please get in touch with me directly. 



Investment Vehicles


Managed Account Min 2M USD

National Funding? Yes



MORE INFORMATION: 

 

If you would like to receive additional information about these investment programs please do not hesitate to call or send me an email. I would be happy to follow up at your convenience. 


Best Regards


James Rider

FxVolResearch






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