The firm’s systematic trend following strategy represents a fusion of practical and academic approaches.
It is subject to continuing development by combining financial theory with the experience of the firm’s trading, risk and modelling experts.
The strategy is currently based upon a set of medium-term trend-following signals with an in-built risk management methodology.
The philosophy behind the systematic trend following strategy is that predictable patterns exist in financial markets and that it is possible to construct a well-diversified portfolio that will generate strong, risk-adjusted returns across a range of trading environments.
We have developed a proprietary model designed to assess levels of equity market risk which we call “Fear Metric”.
In 2017, we implemented a quantitative and entirely systematic equity long/short strategy, which sells markets exhibiting higher relative Fear Metric and buys markets exhibiting lower relative Fear Metric.
This strategy is market volatility neutral and hence exhibits low beta to global equity markets.
Our discretionary global macro trading focuses on fixed-income, FX, commodity and equity index markets with a strong emphasis on liquidity.
Accordingly, government bonds, exchange traded derivatives, OTC foreign exchange and vanilla OTC products in G-20 markets are the strategy’s core constituents.