Our managed futures strategy implements a unique trend following strategy within a broadly diversified universe. It analyses both absolute trends (time series momentum) and relative trends (cross-sectional momentum). The portfolio construction also takes into account correlations between individual markets, with a view to finding the optimal combination of moves based on absolute and relative trends. This strategy is implemented exclusively through futures (on equities, bonds, commodities and currencies) that are highly liquid and have no counterparty risk.
Our strategy has a low correlation to traditional risky asset classes, especially equities. This strategy is particularly suitable for professional investors seeking to diversify their existing positions in the traditional equity and bond markets.
- A pure trend-following strategy with a consistent style
- that makes the most effective possible use of absolute and relative trends,
- that is diversified across more than 60 liquid futures in 8 sectors,
- that is based on a systematic and transparent investment process,