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Blacksquare follows model-based trends

Blacksquare Capital says impressive returns from model-based trend-following strategies helped the recent performance of its multi-manager fund.

Against the backdrop of the sharp equity market sell-off and extreme volatility in early August, the Blacksquare multi-manager fund limited losses to 0.99 per cent over the month.

This was partly due to the performance of model-based strategies AC Risk Parity 12 and the Aspect Capital diversified trends fund, which rose by 1.73 per cent and 1.61 per cent respectively over the month.

In contrast, Blacksquare says the ban imposed by four European countries on short selling bank stocks has had a negative impact on its diversified fund.

The fund fell by 7.94 per cent over the month as some of the long/short managers struggled to hedge risk in the equity market sell-off in the first 10 days of August.

Holdings in Old Mutual UK dynamic equity and Occam Asia focus funds fell by 12.53 per cent and 12.43 per cent respectively in August. CF Odey UK absolute return also lost 10.94 per cent.

Blacksquare says good managers do not become bad managers in four weeks and it is confident that the funds will recover as all three managers have experienced similar losses and recovered from them.

Chief executive Christopher peel says: “August was a difficult month and it was disappointing that some managers struggled. As soon as you ban naked short selling, it affects your ability to hedge and a lot of people do not understand that.”

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