2016/01/30
2016/01/28
Profiles for Selected CTA Programs
Past results are not indicative of future results.
Aspect Capital Limited Diversified Program (QEP)
The Aspect Diversified Program (“Aspect Diversified”) applies a fully systematic, momentum-based investment strategy. The Program seeks to generate sustainable, high-quality alpha, which is uncorrelated with returns from major asset classes, through the quantitative identification and the systematic and disciplined capture of price trends which occur persistently, if unpredictably, in a wide range of liquid global financial futures, commodities, currencies and equity markets.
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=20112
Winton Capital Management Ltd Diversified Trading Program
The Winton Diversified Trading Program is a diversified, systematic trend following managed futures product. Statistical research forms the basis of Winton’s investment philosophy, and the manager utilizes a highly quantitative approach to analyze historical price behavior and forecast future price trends. Their investment technique consists of trading a portfolio of more than 120 futures markets within the liquid equity index, interest rate, currency, and commodity markets across the globe (subject to regulatory and client constraints). Trading activity is flexible and does not entail a long or short bias; as a result, profits can be made in both upward and downward moving market environments.
http://www.managedfutures.com/program_performance.aspx?fundtype=mf&productid=18699
Crescent Bay Capital Management, Inc. Premium Stock Index Program
The objective of this strategy is to achieve substantial capital appreciation through the speculative trading of options on futures contracts. This objective can entail a comparatively high level of risk. CBCM currently engages in this strategy of selling or “writing” put and call options on stock index futures. CBCM's option strategy collects premiums by writing (selling) out-of-the-money options. The seller (writer) of the option risks losing the difference between the premium received for the option and the price of the underlying futures contract. Trades are usually made 45-30 days from expiration. The idea is to hold the option until expiration. This maximizes the return on the option by retaining all the funds received in the account when the option was initially sold. The goal is to be profitable regardless of market direction. What makes CBCM’s strategy unique is that historical prices are not used to establish positions, and, a short-term trend indicator is used to help reduce the probability of selling options against a negative trend. The majority of methods used by advisors are based on the assumption that historical price data can predict future prices. While the use of historical price data has shown to be profitable, CBCM believes deeper drawdowns and lower accuracy are generally the result of this type of analysis. CBCM uses the future perceived value in its proprietary algorithms, derived from the current month option expiration, to determine the strike prices at which the options are sold. In addition, position sizing methods are employed to optimize risk-adjusted returns by balancing put/call exposure.
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=30458
Crescent Bay Capital Management, Inc. Balanced Volatility Program
The objective of the Balanced Volatility Program (BVP) is to achieve substantial capital appreciation through the speculative trading of options on futures contracts using “Non-Directional” proprietary strategies. A secondary objective of the Balanced Volatility Program (BVP) is to offset volatility risks, which are inherent in short option or premium selling programs, while offering the benefits of an absolute return strategy. The BVP works well as a hedging tool when combined with a premium-selling program such as the Premium Stock Index Program (PSIP) or as a standalone investment. It is well documented that selling premium (short options) is profitable in quiet or low volatility markets, however, when volatility increases sharply, many months or even years of profit can be lost if risk is not properly managed. The foundation of the strategy used in the BVP blends various short and long options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months providing an overall net long volatility position. These core elements combined with a robust adjustment protocol result in a balanced strategy. Positions are placed using proprietary strike level and ratio algorithms to achieve a strategy that can be profitable in flat or volatile market conditions. Stop limits derived as a function of account value and real-time monitoring of positions are the primary risk controls. Furthermore, the BVP only participates in high liquidity markets (currently the S&P 500 Emini and Pit option contracts).
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=34003
HB Capital Management, Inc. Diversified Program
The program uses a number of different options and futures strategies. The option strategies include a variety of different spreads such as verticals, calendars, ratios, strangles, and straddles amongst others. The program will also outright sell or buy an option in certain situations. In addition, the program may purchase or sell futures to offset an open option position. The program trades options and futures contracts in the crude oil, coffee, soybean, gold, natural gas and corn markets, among others. The implementation of this trading program depends on both technical and fundamental considerations. Technical analysis involves the study of charted prices, volume and momentum to determine the future course of prices. Other analysis may also be performed on the prices of various options, both in absolute terms in relation to their historic price level, and in relative terms comparing the prices of puts to the prices of similar calls. Implied and historical volatility of both the option and its underlying commodity are also studied. Fundamental considerations, utilized on a commodity by commodity basis, include supply and demand, seasonal movements as well as business and economic factors, governmental policies, weather, and other worldwide events, which can influence the commodity markets. A secondary strategy seeks to profit from seasonal patterns inherent in various commodity markets. The trades taken may be outright long (buy) and short (sell) positions or spread trades between two similar commodities. Seasonal trading may also employ the use of buying and/or selling options. A third strategy that HB Capital Management has developed is a proprietary program for trading the stock market. We may take a long position when a buy signal is generated for the stock market and may take a short position when a sell signal is generated.
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=36622
Aspect Capital Limited Diversified Program (QEP)
The Aspect Diversified Program (“Aspect Diversified”) applies a fully systematic, momentum-based investment strategy. The Program seeks to generate sustainable, high-quality alpha, which is uncorrelated with returns from major asset classes, through the quantitative identification and the systematic and disciplined capture of price trends which occur persistently, if unpredictably, in a wide range of liquid global financial futures, commodities, currencies and equity markets.
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=20112
Winton Capital Management Ltd Diversified Trading Program
The Winton Diversified Trading Program is a diversified, systematic trend following managed futures product. Statistical research forms the basis of Winton’s investment philosophy, and the manager utilizes a highly quantitative approach to analyze historical price behavior and forecast future price trends. Their investment technique consists of trading a portfolio of more than 120 futures markets within the liquid equity index, interest rate, currency, and commodity markets across the globe (subject to regulatory and client constraints). Trading activity is flexible and does not entail a long or short bias; as a result, profits can be made in both upward and downward moving market environments.
http://www.managedfutures.com/program_performance.aspx?fundtype=mf&productid=18699
Crescent Bay Capital Management, Inc. Premium Stock Index Program
The objective of this strategy is to achieve substantial capital appreciation through the speculative trading of options on futures contracts. This objective can entail a comparatively high level of risk. CBCM currently engages in this strategy of selling or “writing” put and call options on stock index futures. CBCM's option strategy collects premiums by writing (selling) out-of-the-money options. The seller (writer) of the option risks losing the difference between the premium received for the option and the price of the underlying futures contract. Trades are usually made 45-30 days from expiration. The idea is to hold the option until expiration. This maximizes the return on the option by retaining all the funds received in the account when the option was initially sold. The goal is to be profitable regardless of market direction. What makes CBCM’s strategy unique is that historical prices are not used to establish positions, and, a short-term trend indicator is used to help reduce the probability of selling options against a negative trend. The majority of methods used by advisors are based on the assumption that historical price data can predict future prices. While the use of historical price data has shown to be profitable, CBCM believes deeper drawdowns and lower accuracy are generally the result of this type of analysis. CBCM uses the future perceived value in its proprietary algorithms, derived from the current month option expiration, to determine the strike prices at which the options are sold. In addition, position sizing methods are employed to optimize risk-adjusted returns by balancing put/call exposure.
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=30458
Crescent Bay Capital Management, Inc. Balanced Volatility Program
The objective of the Balanced Volatility Program (BVP) is to achieve substantial capital appreciation through the speculative trading of options on futures contracts using “Non-Directional” proprietary strategies. A secondary objective of the Balanced Volatility Program (BVP) is to offset volatility risks, which are inherent in short option or premium selling programs, while offering the benefits of an absolute return strategy. The BVP works well as a hedging tool when combined with a premium-selling program such as the Premium Stock Index Program (PSIP) or as a standalone investment. It is well documented that selling premium (short options) is profitable in quiet or low volatility markets, however, when volatility increases sharply, many months or even years of profit can be lost if risk is not properly managed. The foundation of the strategy used in the BVP blends various short and long options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months providing an overall net long volatility position. These core elements combined with a robust adjustment protocol result in a balanced strategy. Positions are placed using proprietary strike level and ratio algorithms to achieve a strategy that can be profitable in flat or volatile market conditions. Stop limits derived as a function of account value and real-time monitoring of positions are the primary risk controls. Furthermore, the BVP only participates in high liquidity markets (currently the S&P 500 Emini and Pit option contracts).
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=34003
HB Capital Management, Inc. Diversified Program
The program uses a number of different options and futures strategies. The option strategies include a variety of different spreads such as verticals, calendars, ratios, strangles, and straddles amongst others. The program will also outright sell or buy an option in certain situations. In addition, the program may purchase or sell futures to offset an open option position. The program trades options and futures contracts in the crude oil, coffee, soybean, gold, natural gas and corn markets, among others. The implementation of this trading program depends on both technical and fundamental considerations. Technical analysis involves the study of charted prices, volume and momentum to determine the future course of prices. Other analysis may also be performed on the prices of various options, both in absolute terms in relation to their historic price level, and in relative terms comparing the prices of puts to the prices of similar calls. Implied and historical volatility of both the option and its underlying commodity are also studied. Fundamental considerations, utilized on a commodity by commodity basis, include supply and demand, seasonal movements as well as business and economic factors, governmental policies, weather, and other worldwide events, which can influence the commodity markets. A secondary strategy seeks to profit from seasonal patterns inherent in various commodity markets. The trades taken may be outright long (buy) and short (sell) positions or spread trades between two similar commodities. Seasonal trading may also employ the use of buying and/or selling options. A third strategy that HB Capital Management has developed is a proprietary program for trading the stock market. We may take a long position when a buy signal is generated for the stock market and may take a short position when a sell signal is generated.
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=36622
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