MEET THE MANAGERS
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ADG employs a Systematic Macro strategy. This strategy has its roots in Global Tactical Asset Allocation (GTAA) which can be viewed as a class of strategies aimed at the generation of excess return by means of tactical reallocation between asset classes. The ADG Systematic Macro strategy takes this concept one step further; not only reallocating capital between asset classes but also reallocating risk between the factors that drive the models.
ASPECT CAPITAL LIMITED
The Aspect Core Diversified Program (Core Diversified or the Program) applies a proprietary and systematic quantitative investment approach that seeks to identify and profit from trends in both rising and falling markets by taking either a long or short position in each given market. This objective is achieved through the use of medium-term trend following strategies, which are deployed in 69 highly liquid global financial and commodity futures markets. These markets are categorized into four separate asset classes: commodities, currencies, fixed income and stock indices. The Program aims to deliver pure momentum-based returns with a target annualized volatility level of 10%. By maintaining comparatively small exposure to any individual market and maintaining positions in a variety of markets, Aspect aims to achieve long-term diversification within the Program.
Buttonwood Energy Diversified 1 (ED1) is technical in nature but may adjust the strategy to include fundamental inputs depending on market conditions and may employ quantitative analysis of pricing data to identify and exploit price movements in the energy markets. ED1 utilizes information and analysis generated by an in-house team of analysts and by third parties to generate multi-tiered trade signals and strategies.
CANE CAPITAL MANAGEMENT, LLC
Cane Alternative Strategies Fund (the “Fund”) seeks capital appreciation through making long and short investments in fixed income, currency, equity and commodity markets primarily in a portfolio of equities and futures contracts and futures-related instruments, swaps and options. The Fund’s adviser, Cane Capital Management, LLC (the “Adviser”), utilizes a proprietary quantitative model, deriving inputs from financial data, to identify securities exhibiting particular traits that indicate the potential for outperformance. The Adviser is not limited by industry or sector, but does limit its selection to the top 1,000 U.S. companies as defined by market capitalization. The Adviser’s process uses a combination of economic analysis and quantitative market dynamics to determine investment strategies, which are implemented through (i) long positions in equities or (ii) taking long or short positions in the other types of securities described above. The Adviser’s risk management approach uses statistical processes in seeking to truncate downside risk.
The Galaxy CQA Multi-Strategy Fund LP is a multi-manager managed futures strategy. The Fund actively allocates capital to a diverse set of sub-strategies managed by a group of thoroughly vetted commodity trading advisors (CTAs). These sub-strategy allocations may include, but are not limited to, trend following, mean reversion, pattern recognition, global macro, and specialized approaches. Through these allocations, the Fund seeks to provide diversification across a variety of dimensions, including asset class exposures, time frames, and investment methodologies. The primary investment objective of the Fund is to produce positive risk-adjusted returns with the expectation of low correlations to traditional long-only investment strategies. The Investment Manager employs both quantitative and qualitative methods when selecting sub-strategies, and performs thorough operational due diligence and investment strategy reviews prior to allocation.
Dormouse has developed a statistical arbitrage investment strategy based on scientific predictive modelling that uses proprietary and confidential investment methodology, so the description below of the Fund’s investment strategy is high level and does not address specifics of trading or investment decisions.
EAGLE TRADING SYSTEMS INC.
Eagle Frequency Domain (FDS) is a systematic trading strategy which aims to identify and take advantage of distinct price patterns using spectral analysis and artificial intelligence techniques. In spectral analysis, data is transformed from time domain to frequency domain, evaluating signals with regard to frequency instead of time and offering a different visualization of the data. In FDS, spectral analysis is used to break up price patterns into their characteristic constituent frequencies and forecast price over a given horizon. Machine learning algorithms are used to analyze multiple time windows in frequency domain and to identify the period which best fits the current market environment. Notwithstanding its unique data analysis and signal generation techniques, FDS adheres to strict risk and portfolio management rules enforced across all Eagle’s strategies such as risk budget, stop loss, etc. The strategy trades a diversified mix of 43 liquid, exchange-traded futures across multiple sectors including bonds, stock indices and commodities.
East Alpha’s strategies sit in the space between the fully systematic funds building pure pricing data models, and the fundamental commodity players. Focusing on an individual asset with an individual system may yield relatively low returns. The Trading Advisor combines and optimally weights these small, uncorrelated streams to generate consistent positive results. Adopting a multi-asset, multi-strategy approach on diversified assets, using a combination of trend, counter trend, structure and carry strategies results in a higher long-term risk-adjusted return. Risk and capital can be reallocated quickly between strategies based on return, volatility or correlations.
Fort’s Global Contrarian trading program is based on two main beliefs: (1) returns can be extracted from trends in the price movements of futures contracts; and (2) market prices are the key aggregator of information pertinent to making investment decisions. The Trading Adviser’s ongoing research seeks to develop and implement adaptive, quantitative trading systems that select a mix of technical indicators in each market and use them to dynamically determine portfolio allocations, thereby allocating risk to markets according to a forecast of risk‐adjusted profitability.
GMI specializes in the discretionary tactical trading of the U.S. stock market through positioning in domestic stock index futures. Emphasis is on low risk entry/exit points. While discretionary in nature, the firm’s strategy relies on hundreds of proprietary quantitative indicators and models developed by its founder and principal. Mr. Goldman has devoted the majority of his academic and professional energy to the study of the stock market’s history and behavior during his 30+ years in the investment business.
Greenwave employs a discretionary global macro approach with an emphasis on G20 currencies. Greenwave incorporates a two-step investment process. We begin with top down, macroeconomic analysis to determine the fundamental themes in which to engage. The goal is to identify the dominant drivers in the current market environment with a focus on central bank activity, political trends and geopolitical events. From this, Greenwave develops fundamental themes typically looking six to twelve months forward.
John Locke believes in a quantitative approach to investment management with a philosophy that the general psychology of the markets is reflected in pricing behaviors that repeat themselves over time; they create trends that, in certain markets, persist over time, and that can be captured with the prudent use of robust quantitative analysis technologies. The Trading Advisor aims to capture these trends – bullish as well as bearish ones – through an advanced statistical analysis of historical prices.
Molinero Commo+: an Agricultural Specialist Program developed in partnership with two physical commodity merchants. The program manages a dynamic allocation of long and short positions in the agricultural and related futures markets. The Molinero Commo+ offers the best of MCM’s long expertise in the systematic trading, combined with the ground expertise of two leading physical agricultural merchants. The program uses grain fundamental models , non-trend models and directional models. Given the fairly unique nature of the models, and the markets traded, the program is expected to have low correlation with equity indices and hedge fund strategies.
NEW AMERICAN ENERGY LLC
The Galaxy New American Energy Fund is a pure play clean & environmental technology fund. The Fund employs a long-term, deep research driven, and carefully concentrated barbell strategy consisting of listed growth equities, listed dividend equities, listed deep value equities, and select structured investments. The Fund’s investment committee is comprised of Co-CEO & Portfolio Manager Nicholaus Rohleder, Co-CEO & Head of Fundamental Equity Andrew Gold, and Chief Investment Officer Walter Nasdeo. Mr. Nasdeo is the longest-standing published clean & environmental technology research analyst on Wall Street, having covered the space since the 1990s. The Fund’s advisors produce in excess of 1,000 pages of research annually on the engineering, raw materials, investable universe, history, and current events in the clean & environmental technology sector.
The PlusPlus strategy currently employs several quantities short-term momentum and contrarian trading models that generate long and short signals in over 60 different futures contracts. The average holding period for a trade is 4.5 days. Underlying this strategy is the philosophy that markets are predictable in the short-term due to the behavioral biases of investors, which are persistent and have not changed over time.
The investment objective of the Principalium Defensive Volatility Strategy is to provide attractive risk-adjusted absolute returns across a wide range of market conditions with a long volatility bias by design.
The all-systematic, algorithmic trading strategy seeks to dynamically capture the following distinct return streams by trading volatility and underlying stock indices: (1) shorter term spikes in volatility and longer-term market corrections (2) the Volatility Risk Premia (VRP) present in the VIX futures curve during contango ,and (3) reversal and mean reversion patterns in different volatility markets (4)tactical trading during back-and-forth environments . It implements its investment decisions primarily by trading futures on volatility indices (like VIX, VSTOXX), and stock indices (like S&P 500, EURO STOXX 50).
The strategy has been designed to provide positive performance during shorter term market corrections to more pronounced tail-like events. Risk across all trading algorithms sets is continuously monitored with stop-losses based on Maximum Adverse Excursion factors, while continuously monitoring conditional value-at-risk and margin utilization.
The ProfitScore investment objective of the Long/Short US Treasury Program(the “Program”) is to seek to provide absolute returns. Assets invested in the short-term systematic Program should benefit from transparency, high liquidity, low degree of volatility and a positive response to rising or falling interest rates. To achieve its investment objective, the Program will invest either long or short in liquid and transparent US Treasury fixed income futures contracts. The Program employs multiple uncorrelated predictive models that cumulatively forecast US Treasury Bond returns. The Program expects the notional value of the futures contracts to equal between 0% and 125% of the Fund’s total net asset value; however, these percentages may vary over time as a result of market conditions and fluctuations and the Trading Advisor’s periodic determinations of current market volatility.
The Quantica investment philosophy centers around the belief that quality risk adjusted returns can be systematically exploited from liquid markets by analyzing risk adjusted outperformance of one market versus other markets in the investment universe. The program is designed to identify and exploit inefficiencies in relative, risk-adjusted price movements across major asset classes by detecting global capital flows. Risk and price movements are statistically analyzed in order to determine if a market should be over- or underweighted versus a neutral portfolio. The program uses daily risk adjusted returns as sole data input and operates in real time. Overall exposure is self-regulated according to proprietary predefined risk parameters. When the program detects higher inefficiencies in markets it will adjust the exposure higher vs. a neutral portfolio, and vice-versa.
QUANTITATIVE INVESTMENT MANAGEMENT
QIM’s Global Program is a proprietary trading system that uses quantitative behavioral pattern recognition to trade across a universe of exchange-traded commodity futures contracts. QIM believes that financial markets are not entirely efficient and that numerous inefficiencies exist that QIM believes can be exploited through the prudent use of robust quantitative analysis and predictive technologies. QIM has developed proprietary algorithms for predicting short, medium, and long-term price movements for a wide variety of markets. QIM currently employs numerous quantitative trading models that utilize pattern recognition to predict the global equity and futures markets.
The Quest Fixed Income Hedge Program (“QFIT”) is a quantitative trading program designed to hedge exposure to the U.S. 10-year Treasury (i.e., provide protection during periods of rising interest rates). QFIT uses a combination of moving average crossover and other models to generate signals for each market. By combining signals generated over multiple timeframes, QFIT seeks to capture short-, medium- and long-term trends in various markets.
The Quest Tracker Index (the “QTI” or the “Index”) seeks to track generally the performance generated by the broad class of managed futures trading strategies of trend-following commodity trading advisers (“CTAs”), and to match or exceed the performance of widely-followed CTA indexes on a risk-adjusted basis.1 The Index comprises sixty-six specified futures contracts in markets for currencies, fixed-income, equity indices and commodities (each such futures contract, an “Index Component,” and together, the “Index Components”). Details of the current Index Components are available upon request. Quest, with the approval of the Index Committee (defined below), may adjust the composition of the Index on a quarterly basis to account for market developments.
The investment objective of the ROW Diversified EXT Program is to seek to generate consistent long-term appreciation through active notionally funded investing in global futures and futures options markets. EXT, or “Exchange Traded”, is a variant of the ROW Diversified Program that accesses currency markets via futures, not OTC forwards. We utilize a quantitative approach to forecasting, portfolio construction, and risk management. The program invests in currency, interest rate, energy, agriculture, and equity index futures, and futures options. ROW achieves style diversification by using a combination of Carry, Trend, Fair Value, Pattern Recognition, Volatility, Sentiment, and Mean Reversion models.
VALENT ASSET MANAGEMENT LLC
The Strategy is dedicated to capturing opportunities in metals markets via relative-value, directional and volatility trades. The Strategy utilizes rigorous fundamental analysis to identify economic disconnects with quantitative analysis to enhance trade construction and timing. Trades may be derived from the frequent dislocations inherent within the metals sector to broad, multi-year themes, such as the step change in metals consumption currently being brought on by the “Third Industrial Revolution”, which includes the transition to net zero carbon energy. Portfolio construction is a function of both conviction and a quantitative assessment of the trading environment. The portfolio can be delta neutral or directional while seeking to capture the inherent alpha in the metals space and minimizing the portfolio’s correlations with all major asset classes.
The Volt Diversified Alpha Program (the Program is a diversified, systematic trading program that applies machine learning to financial markets with the aim to deliver capital appreciation in all market conditions. The Program is fundamental in nature, primarily seeking to capture price moves that are motivated by a change in underlying economic factors, but it also uses technical information for risk management, trade timing and execution decisions. The Program trades a diversified portfolio of liquid futures contracts, covering the main global financial and commodity markets. Trading signals span a variety of horizons from monthly to intraday. Intraday or daily signals are used primarily to aid execution and risk management while signals with a weekly or longer horizon are used to establish core positions. The Program targets a 10% annualized volatility. Position risk is managed on an intraday basis, maintaining strict limits on exposure and Value-at-Risk (VaR). Execution is fully automated using direct market access (DMA). Thanks to the use of machine learning and fundamental input data, the Program is expected to have a low correlation to traditional assets as well as systematic trading benchmarks.
WELTON INVESTMENT PARTNERS
Welton Global was conceived to provide investors with a source of non-correlated returns and long-term capital appreciation by capitalizing on the full range of investment opportunities available in the global futures and FX markets. Global does this by employing a broadly diversified portfolio architecture that spans multiple asset classes, strategy types, holding periods and directionality (i.e., taking either long or short positions). To accomplish its goals Welton Global today trades 24 unique and diverse strategies, each attempting to capture a specific recurrent market phenomena generated by behavioural inefficiencies amongst capital market participants. These inefficiencies include, but are not limited to, under-anticipated price shifts from a variety of recurrent global macroeconomic themes, carry differentials, structural financing premiums within and across markets, and the exploitation of a variety of short- and long-term statistical probabilities, among others. Strategies are then systematically combined through a top-down Multi-Asset Class Correlation and Risk Optimization (MACRO) allocation framework to achieve Global’s clear objectives over the long-term. This system was specifically designed to target maximum diversification to complement Global’s momentum / trend following core, and embeds risk management at multiple layers within the portfolio for a stable portfolio risk profile over time. By maintaining these core design principles, an unwavering focus, and a process of continuous improvement, Welton hopes to ensure that Global will continue to deliver the dual traits of alpha plus portfolio-enhancing diversification that investors value.