Our Philosophy  

“Diversification is the only free lunch” in investing

Harry Markowitz Nobel Prize laureate
/

Core Portfolio Philosophy

The inspiration for some of the core features of our managed futures fund are derived from the ARTEMIS Capital Management research paper Rise of the Dragon - The Allegory of the Hawk and Serpent. In this paper, ARTEMIS outlines a strategy that provides capital appreciation and protection through all market environments. This is the basis for our core portfolio of futures.

In the words of Ray Dalio, it is our “All Weather portfolio”

Our core futures portfolio offers a simplified and cost-effective approach to the all-weather portfolio strategy. We have created a portfolio of assets that are essential to our trading system and minimize risks. We systematically rebalance the underlying values of these assets to maintain our preferred asset allocation.

Trend Following Philosophy

We believe trend following is an effective investment principle for several reasons

Information lag
It takes time for new information to be reflected in market prices. Trend following strategies exploit this lag by reacting to price movements that reflect changes in the underlying fundamentals of an asset.

Autocorrelation
Market instruments tend to be autocorrelated, meaning that past prices tend to influence future prices. Trend following strategies take advantage of this by identifying and following the direction of the prevailing trend.

Behavioural biases
The behaviour of market participants can favour the emergence and persistence of trends. For example, investors may be prone to herd behaviour, which can amplify trends and make them more pronounced. Trend following strategies exploit these behavioural biases by following the trend and avoiding counter-trend trades.

 

Our Difference

We believe that these trend following strategies when combined with the underlying core futures portfolio produces the optimal mix of positive and negative skews in the return distribution to maintain consistent performance.
 

Positive

Positive skew strategies have very small losses regularly and much larger gains less regularly. The gains will generally be much greater than the losses. Example - Trend following strategy

Negative

Negative skew strategies will have very small gains regularly and much larger losses less regularly. The trick is to ensure you can survive the losses. Example – Selling Options or Carry Trades

Optimal

An optimal mix of both strategies can ensure consistent returns

By overlaying trend following strategies to the core futures portfolio, we help to mitigate the drawdown risks and improve the returns. In essence, our trend following strategy introduces crisis-alpha

 

Recommended Reading


 

Portfolio Construction & Risk Management

Our unique portfolio construction can provide a defensive equity overlay as well as a potential inflation hedge. Our risk management techniques incorporate explicit and implicit stop loss functions across the entire portfolio ensuring every market risk is managed. This risk management technique allows an extra degree of confidence enabling an efficient usage of futures leverage.
 
Grid Image

Our Belief

We believe that adaptive risk techniques are flawed as they encourage taking profit on risk too early. If something has moved beyond the bounds, of expectation, we want to be on it.

Risk

We prefer to risk unrealised profits in the quest to achieve outsized returns.

Strategy

By managing our entry relative to volatility and minimizing our risk due to our tight stop loss policy, we target outsized returns.

What we believe in?

“Cut short your losses, let your profits run on.” 

David Ricardo - Economist
(1772 - 1823)
 

We believe a diversified combination of systematic strategies can produce outsized returns over the long term when optimal leverage is applied
We believe there should be a clear distinction between risk and volatility. We embrace volatility and minimise risk.