Meet The Managers
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Systematic Alpha Program
The Systematic Alpha Program uses proprietary machine learning models that are trained using 30 years of data from over 70 futures, yielding generalized and robust models. Diversification is ensured by trading contracts in various exchanges (in the U.S., Europe, and Asia), by trading various market sectors (Equity Indices, Fixed Income, Currencies, Energies, Metals, Grains, Soft Commodities), and by having strategies that trade in different frequencies (intraday to holding for several days) and also utilize different methods (momentum, mean reversion etc.) Risk is managed by VaR caps, position caps, volatility-based position sizing and other novel techniques. All trading decisions are conducted systematically and algorithmically. However, under certain circumstances, discretion for risk management purposes might be used. The objective of the program is to generate positive returns uncorrelated to traditional and alternative investments.
Aspect Core Diversified Program
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.
Cane Global Macro Program
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.
FAR Commodity Futures Program
Founders Absolute Return (FAR) seeks to provide favorable returns that are expected to be uncorrelated to traditional equity, fixed income and commodity indexes. FAR targets consistent returns from a liquid, diversified portfolio holding exposure across commodity sectors including energy, agriculture, industrial and precious metals markets as well as diverse positions within natural resource equities.
DCM Systematic has designed the Diversified Alpha Program to try to generate absolute returns through different market regimes which are uncorrelated to traditional markets and other alternative strategies. DCM Systematic Diversified Alpha Program utilizes a multi-model approach that aims to capture trading opportunities across three different quantitative model styles, categorized as behavioral, relative value and macro; the strategy is further diversified through a wide spectrum of different time horizons. The behavioral models seek to anticipate the flows of large market participants to take advantage of their market impact; the relative value models aim to seize opportunities that arise from different kinds of spreads while putting a strong emphasis on tail-risk protection; finally, the macro strategies use a broad range of statistical models derived from economic and technical principles. The Diversified Alpha Program trades a range of liquid, exchange traded futures across global developed markets with a focus on equities, commodities, FX and fixed income.
Diversified Trading Program
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 Spectrum 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 Spectrum, 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, Spectrum 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.
Eckhardt Trading Company recently celebrated their 30th year in 2021. Eckhardt’s trading experience is backed by over 40 years of scientific system development and evolutionary computing. The Firm manages a diversified portfolio of global exchange-traded financial and commodity futures over multiple time frames, while the strategy produces a low correlation to equity markets. ETC uses a differentiated approach to systematic trading with Short-term Volatility Trend, Pattern Recognition, Risk-off Alpha and Sentiment systems. Combined with unique volatility-based signal generation and a risk-first approach to trade implementation, ETC produces a distinctive return profile that will diversify a portfolio of traditional assets as well as deliver through dislocations.
Episteme Systematic Quest (ESQ) Program
Episteme Capital, headquartered in London with an additional office in New York, is an independent quantitative investment manager founded in 2009 that manages capital for a global client base. Across the team there is a broad and practical experience spanning market cycles, asset classes, and investment styles. The Firm combines this experience with theory and quantitative techniques to design distinctive systematic strategies within a pragmatic risk management framework.
Episteme Systematic Quest (ESQ) is the flagship systematic global macro investment program that trades a diversified portfolio of fundamental, technical, and liquidity strategies. The program trades the most liquid futures and foreign exchange forwards across equity index, commodity, fixed income, and currency markets.
Insured Trade Finance
Falvey Capital is a private credit fund investing in short-term, supply chain finance receivables. Paul Falvey is a career bank CEO, who has spent his career focused on the effective negotiation and structuring of complex private credit transactions. The fund concentrates on capital preservation, offers quarterly liquidity, and seeks a low correlation with bonds and equities. The private credit asset class has grown significantly over the past decade as traditional banking institutions scale back their capital-intensive lending businesses. Consequently, small and middle market companies are increasingly looking for capital from non-bank lenders. Falvey Capital has structured a unique investment opportunity in the private credit space focused on providing supply chain financing solutions to these small and middle market privately held U.S. companies.
FORT Global Contrarian Program
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.
Agricultural Specialist Program
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.
NAE Sustainability I, LP
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.
Dynamic Commodity Overlay
The Dynamic Commodity strategy combines trend-following strategies with a number of “non-trend” investment styles that have both strong theoretical and empirical support. These styles include macro, value, carry, sentiment and intermarket linkages. This approach to harvesting risk premia recognizes the importance of tilting and timing of harvesting risk premia. Thus, rather than deploy these investment styles in isolation (i.e., in separate sleeves), the strategy seeks to harness them together – that is, integrating different styles in a non-linear fashion, and using dynamic selection of strategies algorithms to time-vary our exposure to individual risk premia, with exposures depending upon recent performance, crowding, economic cycles, etc. The strategy also relies upon leading edge portfolio construction techniques – specifically a Bayesian approach which deploys mean-variance-skewness optimization – to focus on drawdown avoidance and minimization. The Dynamic Commodity strategy seeks to outperform the Bloomberg Commodity Index over a market cycle.
Global Alpha Program
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.
Defensive Volatility Strategy
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.
Long/Short US Treasury Program
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.
Quantica Managed Futures Program-Futures Only
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.
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.
Quantology Absolute Return (U Shares)
Quantology Capital Management is a quantitative asset management company founded in 2013, and the Quantology Absolute Return strategy was initially launched in 2016 and is regulated by the French Market Authority (AMF). The Fund’s strategy is to exploit anomalies in single name U.S. equities based on market data and investor behavior (e.g. earnings estimates). Due to the Firm’s risk management constraints and investment objective, the fund takes systematic long and short positions with a net exposure that ranges from -20% to 20% (low risk strategy). The strategy aims at providing consistent and uncorrelated returns in all market conditions with limited downside.
Quest Fixed Income Hedge Program
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.
Quest Tracker Index Program
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.
ROW Diversified EXT Program
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.
Black Tail Program
The Trajectoire Black Tail Strategy offers investors an attractive risk return profile through their performance in volatile and dislocated markets and fair performance in stable markets. The fund sets out to take advantage of inefficiencies found in the options market, which has become increasingly more volatile. Trajectoire balances a tail hedging strategy with arbitrage strategies to take advantage of these market inefficiencies and provide investors with a favorable return profile. The fund’s founder, Arie Assayag, put together a team focused on experience and expertise in volatility investing and the options trading market. While the fund uses a systematic model as a road map, the team employs a discretionary approach to trades, as they believe their experience and expertise is a necessity in options and volatility trading. Trajectoire’s performance record is evident through their returns in a three-year span over a full market cycle—2019’s low volatility, 2020’s market crisis, and 2021’s volatility consolidation.
Past performance is not indicative of future performance. Investors can lose all or some of their investments.
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.
Diversified Alpha Program
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 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.