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Latest CTAs
John W. Henry & Co - World Commodity
The Program is a broadly diversified, commodity-only program that combines three two phase reversal systems with a systematic rebalancing strategy. The three trend-following models utilize different time horizons to permit multiple entry and exit points, as well as variations in positions based on different lengths of market trends. Market allocations are established to reflect long term average notional allocations for a broad based commodity market portfolio. Position sizes are adjusted (rebalanced) back to targeted portfolio weights quarterly. Changes in the relative notional value of contracts are reflected in new position exposures upon rebalancing. Market exposures for this program were chosen to maximize diversification in the commodity sector subject to liquidity constraints for each market. The program is designed to have lower volatility compared to most other JWH programs. The Program is non-predictive, trend-following, disciplined and systematic.
Transtrend - Diversified SR JPY
The program is based on in-depth analysis of price behavior by a team of mathematicians and econometricians, since 1987. Their analytical approach attempts to benefit from categorized price patterns in global markets including (futures and forward contracts of) stock indices, interest instruments, currencies, cross rates and tangible commodities. Its Diversified Trend Program offers a long/short/neutral approach. The portfolio is highly diversified.
FTC - Systematic Macro (EUR)
The FTC Systematic Macro fund is strictly systematic and globally diversified with a broad mix of uncorrelated systematic trading models. The FTC Systematic Macro fund uses various proprietary strategies, which have little or zero correlation with one another. This includes strategies based on macroeconomic models (e.g. interest curves, monetary policy), arbitrage and spread strategies (e.g. Statistical Bond Arbitrage) or short-term trading strategies (e.g. intraday signals).
The FTC Systematic Macro Fund is designed as a beta-neutral component for any diversified portfolio.
FTC - Systematic Macro (USD)
The FTC Systematic Macro fund is strictly systematic and globally diversified with a broad mix of uncorrelated systematic trading models. The FTC Systematic Macro fund uses various proprietary strategies, which have little or zero correlation with one another. This includes strategies based on macroeconomic models (e.g. interest curves, monetary policy), arbitrage and spread strategies (e.g. Statistical Bond Arbitrage) or short-term trading strategies (e.g. intraday signals).
The FTC Systematic Macro Fund is designed as a beta-neutral component for any diversified portfolio.
Quantam S.A. - GSA Omega Program
The program uses a discretionary intraday trading approach in order to take advantage of very short term remarkable behaviours in the evolution of the market prices. It is operated by a 15 years experienced manager on the most liquid and Electronic futures contracts on worldwide financial places with a strong concentration on Equity Indices. The program is based exclusively on quantitative technical considerations in
entering a position.
Transworld Capital Mgt - High Liquidity (P)
High Liquidity program is trading contracts that are normally very liquid, such as the E-mini S&P 500 futures and Treasury Notes Futures, so a large volume can usually be traded with slippage being of significant concern. There are a number of proprietary models ! used to determine these trades and as such there is no way to describe the underlying methodology but will include both with, and counter to the trend at times. Generally trades will be shorter term in nature with most trades being completed round trip within one to three day time frame however some trades may last longer at times. While the methods used are systematic in nature some discretion may be applied in modifying the underlying methods used and contracts traded and the advisor may choose to reduce or suspend trading during what may be seen as unusually high risk periods in the market. The minimum capital has been set to try and find a modest balance for draw down and returns as a percentage of the minimum however participants may prefer to use some notional capital or others a larger amount than the minimum for each unit traded to be in line with their own objectives and risk tolerance. Returns are based on proforma adjustments to a proprietary account to reflect fees, client accounts will be traded in like fashion.
Rivercast Capital LLC - MAP (P)
Rivercast seeks to provide clients with predictable returns in the liquid CME S&P 500 Mini futures market through proprietary quantitative modeling and disciplined discretionary short-term trading while maintaining a targeted level of risk. Trading methodology is 100% signal driven. The program uses statistical models to determine entry and exit for all trades. In the history of the program for SP 500 Emini trading more signals have been generated in a direction counter to the recent trend (defined as the movement of the futures contract over the past 1 to 10 days.) However, trend following signal are also generated and are usually intraday trades. In general, 75% of trades are in a direction counter to the recent trend direction. This is signal driven and not pre-determined by design. The program does trade more from the long side, approximately 60% long, due in part to the multi-year/decade upwards bias of the SP 500 index. Each futures contract will have different characteristics in relation to trend versus counter trend, long or short bias. Rivercast trades based the on best statistical models for that particular market.
Global Sigma Group - Plus Program
The program primarily trades S&P 500 futures and options. The program typically will sell options on S&P 500 futures and sometimes will also hedge them with S&P 500 futures. GSP is not a pure volatility-selling program. It is a directional prediction program combined with a volatility measure. The program will typically trade options within 6 weeks to expiration. The program may also buy back options before expiration in order to reduce risk or wait for better opportunities. GSP continuously monitors the risk/reward ratio on both potential and established positions.
Atheta Capital Partners, LLC - TMR Systematic Commodities
These results are hypothetical. The TMRSC program seeks to generate uncorrelated, absolute returns of 15-20% per annum with an annual volatility of 10-15% through the algorithms. These algorithms can br! oadly be divided into “Trend” and “Mean Reversion” categories and are systematically applied in accordance with the characteristics of the trading market. All instruments traded are exchange traded US and UK commodities futures. TMRSC is a fully systematic commodity strategy that innovatively detects and seeks to make profit by extracting medium/long term price trends and short/medium term price reversions. Each strategy algorithm assumes a position in a commodity when a significant and sustainable pattern is detected resulting in a long/short signal. Using an innovative proprietary algorithm, underlying risks are budgeted and aggregated to attempt to ensure that bets are allocated efficiently to the most likely performing trades.
QQFund.com LLC - Trend Program (QTP)
The inception date of QQFund.com Trend Program (QTP) is on September 8, 2008. QTP is the first and the only trading program currently managed by QQFund.com LLC. QTP is implemented based on the proprietary QQFund.com Trend Following Trading System described below. It may be categorized as a global, macro, systematic and trend following trading program in nature.
Future Gate Consultants - Energetic State Analysis - 2% Daily Volatility Prg
Trading description: Energetic State Analysis (ESA) is a method of market analysis, pattern recognition, and strategy development created, developed and enhanced by Future Gate Capital Management throughout more than 12 years. The program manages multi-strategy portfolios across approximately 100 global markets (Interest Rates, Currencies, Energy, Equities, Metals, and Agriculture). Energetic State Analysis™ (ESA) is engineered to exploit inefficiencies by analyzing and deciphering complex price motions and continuously tracks changes in market behavior, and then systematically re-allocates resources to multiple trading strategies such as, trend-following, mean reversion, counter trend, and momentum, which continue to present superior reward/risk attributes over time.
Ion Asset Architecture Limited - High Frequency CTA
The Program is a multi-market, systematic, high-frequency trading program. It operates exclusively on highly liquid, exchange-listed instruments with a geographical focus on Europe and North America. Ion Asset Architecture's trading systems are designed to detect and exploit short and medium-term price changes and to not show correlation to any single market. The goal of the Program is to provide stable returns on the order of 20% on an annualised basis.
Millburn Ridgefield - Diversified Program
Millburn's currency and futures trading methodology is quantitative and systematic. Trading and risk management in each market is controlled by a multi-tiered set of systems. The first stage involves the selection and combination of medium-term directional models. These models are designed to detect trends, and they employ technical, fundamental and market condition data for inputs. During the past 25 years, over 500 trading models of different speeds and types have been engineered, utilizing various statistical analysis techniques, including among others trend, momentum, oscillator, pattern recognition, and volatility. Millburn implements a historical volatility overlay to adjust the size of a position.
Shield Plus - Natural Gas
To simultaneously provide the potential for capital appreciation and preservation by employing a market-neutral investment approach. Such an approach combines two opposing positions, such as a long put & long call, and may make money as one position’s gain more than offsets the other’s loss regardless of market direction. Under such combined call & put positions, a loss may be realized if the market remains stable. To enhance the likelihood of capital appreciation, the investment approach pursues market-neutral positions in volatile markets. This strategy invests only in natural gas. And to maintain protection of principal, the market-neutral approach uses only fully-covered U.S. exchange-traded options. As a means of achieving added protection, this strategy does not borrow uncovered cash/securities to lever returns and risk. Further, unlike a long/short equity fund, where the long and short positions have two different underlying companies and unlimited risk, this strategy’s market-neutral positions have the same underlying market and calculable limited risk. Emphasis will be placed on achieving protected, absolute returns over a rolling two-year horizon rather than superior performance relative to an index or other benchmarks.
MQ Capital Investment Advisors - Sherpa Everest
MQ Capital will generally utilize both short term counter trend trading strategy and a short term trend system for particular markets. A vital part of MQ Capital's trading strategy is sound risk management. The good times, when the methodologies are making money, will take care of themselves. MQ Capital's trading strategy is designed to endure the imminent trending periods in order to profit when trends in the markets do occur. Each commodity interest is tracked on its own merits. Each system has one or more stop loss strategies to preserve capital.
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RISK DISCLOSURE THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
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