Managed Futures
Discretionary strategies driven by macroeconomic analysis across global asset classes.
The Aquantum Active Range - SP500 Options Strategy (AAR) systematically trades option combinations on the SP500 Futures. Ranges are established by simultaneously buying and selling exchange-traded options spreads with different strike prices and different expiries. The aim is to profit from an increase in value of purchased options if the underlying moves into the defined range before the options expire. All individual spreads are built up systematically over the course of the month with the aim of generating returns in short investment cycles (usually monthly). Three to four overlapping spreads are traded per month in order to be able to profit from market movements several times within each month. Fat tail risks are reduced by hedging spreads, which are always implemented delta negative and vega positive due to a surplus of purchased put options.
The Drury Diversified Trend Following Program (DDTF) is a fully systematic long term trend following system that participates in more than 40 markets across mutliple asset classes including equity indices, fixed income and short term rates, currencies, energies, agricultural, and base and precious metals. The portfolio allocates approximately half of total exposure to financial markets and half to traditional commodity markets. Average holding period is about 4 months, with winning trades lasting over 8 months. Risk stops and exit signals are wholly written into and automated within the system.
The Gamma Q Strategy is a discretionary, fundamental approach to trading a set of commodities markets, primarily agricultural and livestock. Given the strong physical commodity trading backgrounds of the principals, the program relies on fundamental research to formulate core views and generate optimal market positioning. Technical analysis is used to time the entry or exit of a trade. The strategy consists of both directional trades as well as relative value trades, depending on which one best expresses fundamental view at the time. The program may also trade lumber, certain energy markets, and some precious metals.
The Gamma Q Strategy is a discretionary, fundamental approach to trading a set of commodities markets, primarily agricultural and livestock. Given the strong physical commodity trading backgrounds of the principals, the program relies on fundamental research to formulate core views and generate optimal market positioning. Technical analysis is used to time the entry or exit of a trade. The strategy consists of both directional trades as well as relative value trades, depending on which one best expresses fundamental view at the time. The program may also trade lumber, certain energy markets, and some precious metals.
The IXI Systematic FX program is a fully automated, price-based, short-term multi-strat FX strategy, trading G10 currencies and the Gold/USD cross. There are no fundamental inputs, although there is an input to the models that uses behavioral biases such as market sentiment and investor behavior. The short-term quantitative models include technically driven, momemtum, countertrend, and behavioral strategies. The average holding period is between 1-4 days.
The Opus Futures Advanced Ag program is a fundamental discretionary strategy focused on agricultural commodities, specifically grains, oilseeds and livestock. Fundamental analysis is used in forecasting US and world supply and demand tables, monitoring US and world weather, studying domestic and international freight values, and tracking underlying cash values associated with agricultural futures markets. Positions can be either directional or spread trades, using futures and/or options on futures. Risk exposures and margin usage are reviewed daily, but risk management is also implemented using the Portfolio Manager's discretion.
The Opus Futures Advanced Ag program is a fundamental discretionary strategy focused on agricultural commodities, specifically grains, oilseeds and livestock. Fundamental analysis is used in forecasting US and world supply and demand tables, monitoring US and world weather, studying domestic and international freight values, and tracking underlying cash values associated with agricultural futures markets. Positions can be either directional or spread trades, using futures and/or options on futures. Risk exposures and margin usage are reviewed daily, but risk management is also implemented using the Portfolio Manager's discretion.
The Xeqos program is a diversified, quantitative-systematic, price-based, bi-directional trend strategy, taking positions across approximately 50 liquid futures markets spanning fixed income, foreign exchange, equity indices, and commodities (agriculture, energies, metals). The Xeqos program also includes a reversals strategy and risk-parity logic to better identify volatility regimes and dynamically adjust the portfolio accordingly. The trading horizon ranges from weeks to a few months, where trend positions can be longer while reversals signals are considerably shorter. Risk management is wholly embedded into the system with no discretionary override, but the Xeqos Risk Committee watches the portfolio daily to safeguard against crisis events and ensure that it is performing within expectations.
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