The manager invests exclusively in S&P 500 futures with the objective of achieving consistent capital growth, which is uncorrelated or negatively correlated with the CTA Index, the S&P 500 index, the U.S. Government Bond index, as well as all other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios, and provide added-value as a diversification to portfolios that have other assets.
The fully-systematic contrarian program employs multiple models to forecast short and intermediate term tops and bottoms in the S&P 500 index, and then simultaneously generate trades, buying identified bottoms, and selling identified tops. The trading portfolio represents the net outcomes of the predictive sub-models. For example, if 2 of the sub-models wanted to buy, and 1 wanted to short, then the portfolio trade would be to "buy 1 unit", since the other buy and simultaneous short signals would be cancelled out.
This trading program targets net performance of 20% annually with volatility of 9%. It has an average holding period of about 7 trading days. It has extremely high liquidity due to the high daily trading volume of the S&P 500 futures, and estimated capacity of $1 billion.