We apply a systematic research and investment process to create scalable and repeatable investment models.
Strategies focus on short-term directional market movements based upon our repeatable and formulaic process for
identifying opportunities. We perform proprietary research combining economic theory and statistical methods in an
effort to identify financially profitable opportunities. Orders are sent to market using state-of-the-art execution
algorithms. The systematic trading portfolio only invests in highly liquid exchange listed products and markets such
as G7 Interest Rates futures, G7 Currency futures, and US stock index futures. Strategies do not go with or against
the market consensus, but remain independent from the market. As a result, they can have a market long, short, or
neutral bias.
The fund’s investment process always begins when repeating market behaviors are observed over time. Trading is
not based solely on the existence of such patterns, but rather on the frequency and predictive characteristics of these
moves over time. Once such patterns can reasonably be explained in light of market technicals, likely drivers and
market sentiment, they will undergo the same process before being deemed acceptable to trade: This provides for
a high success ratio. A models life cycle ALWAYS follows the same method of development.
1) Observation discussion
2) Written into code
3) Rigorous back testing without optimization. We believe it is crucial for any potential stand alone model to show
strong performance results initially without optimization in order to avoid all curve fitting risk.
4) Size, risk determination and correlation to the existing portfolio
5) Walk Forward Testing: Only models that exceed an extremely high hurdle rate for out-of-sample profitability
will be considered for further development.
6) Finally models are run in real-time within a parallel portfolio for an extended period of time and tested for correlation
comparison to existing models in portfolio before live trading commences
Strategies focus on short-term directional market movements based upon our repeatable and formulaic process for
identifying opportunities. We perform proprietary research combining economic theory and statistical methods in an
effort to identify financially profitable opportunities. Orders are sent to market using state-of-the-art execution
algorithms. The systematic trading portfolio only invests in highly liquid exchange listed products and markets such
as G7 Interest Rates futures, G7 Currency futures, and US stock index futures. Strategies do not go with or against
the market consensus, but remain independent from the market. As a result, they can have a market long, short, or
neutral bias.
The fund’s investment process always begins when repeating market behaviors are observed over time. Trading is
not based solely on the existence of such patterns, but rather on the frequency and predictive characteristics of these
moves over time. Once such patterns can reasonably be explained in light of market technicals, likely drivers and
market sentiment, they will undergo the same process before being deemed acceptable to trade: This provides for
a high success ratio. A models life cycle ALWAYS follows the same method of development.
1) Observation discussion
2) Written into code
3) Rigorous back testing without optimization. We believe it is crucial for any potential stand alone model to show
strong performance results initially without optimization in order to avoid all curve fitting risk.
4) Size, risk determination and correlation to the existing portfolio
5) Walk Forward Testing: Only models that exceed an extremely high hurdle rate for out-of-sample profitability
will be considered for further development.
6) Finally models are run in real-time within a parallel portfolio for an extended period of time and tested for correlation
comparison to existing models in portfolio before live trading commences