CTA Kaiser: 19 Years of Evolution

Kaiser, which has offices in Melbourne and London, returned 10.28% for its Kaiser Global Diversified Program’s Class A in 2016, a year when the average CTA was slightly down (the SG CTA index ended 2.86% lower). This disconnect is not unusual: the programme has a low correlation with the BarclayHedge BTOP50 index, with an average historical correlation of 0.3.

“We trade over different time frames, which provides a sound reason for our low correlation,” explains founder Tony Kaiser. The programme’s median holding period is three days, hence the SG Short Term Traders Index – up 0.31% in 2016 – is is another benchmark, which could complement broader CTA indices that can include long-term, medium-term and short-term technical CTAs, not to mention some systematic and quant macro funds that use fundamental data. Indeed, Kaiser’s peer group CTAs are sometimes defined as other short-term traders, such as Amplitude, Boronia (also headquartered in Australia), Crabel, R.G. Niederhoeffer and QuantMetrics.

This does not imply that Kaiser has a similar return pattern to these managers, however. Correlations within the short-term trader universe are lower than the coefficients between medium- and long-term CTAs. As well as ploughing their own return profiles, short-term traders tend to pursue differentiated approaches, in terms of philosophy, process, execution techniques and risk management. Here we outline some of Kaiser’s distinguishing features.