2024 performance divergence
Metori paradoxically maximises diversification yet holds fewer positions, based on correlation patterns. Over shorter periods, the more focused book, with lower correlation also allowing for higher gross exposure, can result in some divergences.
Performance in 2024 has been well ahead of trend following CTA indices despite a somewhat more difficult August. This does not however mean that Metori should be seen as a “high beta” CTA as over longer periods the pattern is different. In some other trend reversal months, such as November 2023, Metori also outperformed. In August 2024, Metori had substantial positions in the Euro, Yen, Nikkei and SOFR. Equity exposure was cut in Japan and Taiwan, but it was maintained in other global equity markets. SOFR and SONIA interest rates saw seven standard deviation moves and the strategy cut and reversed from short to long interest rates in August. Margin to equity was reduced from 20% to 17% over the month. At the time of writing, the Epsilon Diversified program was outperforming the SG Trend Index by 12% while the UCITS fund was outperforming it by 5%.
Investor base
Since January 2024, the offshore Epsilon Diversified fund has led asset raising efforts in North America. The choice of vehicles reflects investor preferences. “Europeans like a regulated UCITS but might want to exclude some or all commodities. They might not be able to get exposure to agriculture for example,” says Gaussel. In Europe, Metori is contemplating launching a UCITS version including commodities.
Other investors may prefer accounts with a higher volatility target to be more cash efficient. Metori has not yet seen interest in variants that are constrained to zero equity beta or zero equity correlation.
In November, Metori’s new subsidiary in the US opened, a venture led in collaboration with a veteran of the CTA industry, Michel Serieyssol. This noteworthy development marks a significant step in its expansion efforts within the US market. A US domiciled vehicle may be launched for qualified investors. Metori would only look at a ‘40 Act structure in partnership with a platform or other provider.
Metori closely monitors the fluctuating opportunity set for trend following, based on its recent Sharpe ratio and diversification within the investment universe. Commodities and Chinese commodities will nearly always improve diversification, and sometimes additionally enhance returns and Sharpe ratios.
Assets of EUR 650 million leave abundant capacity for these highly liquid strategies.
