Trading with the trend
Although the macroeconomic factors driving markets shift over time, we believe that the behavioural biases that impact humans when trading markets do not change. This results in price patterns and trends which are often repeated across markets. We believe that systematic strategies can be constructed with the aim of identifying and profitably exploiting such trends and price patterns.
Taking a multi-manager approach
There is a large dispersion of returns in managed futures as CTAs employ different strategies, signals, time frames and risk allocation methods in trading markets and managing capital. Combining different managers, and combining allocations to Trendfollowing strategies with allocations to other trading strategies such as Short-term, Value or Global Macro, can diversify a portfolio.
Investing for the long-term
A third pillar of our philosophy is the importance of investing for the long run. We believe that successful investing in managed futures requires the ability to identify managers with repeatable and scalable trading strategies. It also requires an ability to stick with managers through periods of difficult performance rather than reacting to short-term trends in performance. We aim to construct robust portfolios which can perform through the cycle rather than optimising portfolios based on past performance.
The importance of risk management is the fourth pillar of our investment philosophy. We have a pre-determined stop loss on all manager allocations and do not allow uncovered short options positions. Managed accounts are critical in the risk management and portfolio management process, providing full transparency on positions and enabling detailed manager analysis. We have allocated to managers using managed accounts throughout our track record.