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Systematic

We believe in making strategic investments in Systematic Traders to provide highly liquid, un-correlated assets focused on absolute returns.

This crucial and active sector, originally incorporated for hedging and liquidity purposes, has proven to be a liquid, uncorrelated and highly profitable diversification tool to the more long biased sector investments in both energy and water.  It is now a cornerstone of our portfolio.

Our systematic strategy allows for an improvement of overall risk, liquidity and consistency levels of the entire portfolio while attributing significant portfolio profits, especially during periods of negative equity returns.

At Global Fund Exchange, we believe that a fully balanced and diversified investment strategy is essential to ensure consistent returns. Our diverse yet complementary team of portfolio managers furthermore assists us with implementing the fund's macro overlay and hedging positions in a cost effective and time critical manner.

 

 BENEFITS OF INCLUDING SYSTEMATIC TRADERS / MANAGED FUTURES - Video Link

 

One of the key benefits of including managed futures in a traditional portfolio of equities and bonds is the overall improvement of the new portfolio's risk / return ratios when compared to the original traditional portfolio of equities and bonds only.

 

This page briefly explains how those benefits are achieved and provides useful links to further studies.

 

One of the best sources of material is the benchmark industry report from the Chicago Mercantile Exchange titled “Portfolio Diversification Opportunities.”

 

 

PERFORMANCE ENHANCEMENT

 

Note:  the   high-performing CISDM index was created by a respected academic and operated by the University of Mass / Amherst, I don’t think that it is always a complete representation, particularly when someone is invested in a single manager.

 

 

LOWER DRAWDOWNS

 

Note: again, when invested in a single manager only - this benefit is not always as clearly evident when compared to the entire benchmark

 

IMPROVED DRAWDOWN RECOVERY PERIOD

 

 

UNCORRELATED PERFORMANCE DURING TIMES OF CRISIS

Performance during times of crisis gives me pause.  That is generally accurate, so long as people understand strategy risk and realize that what might look uncorrelated on a traditional correlation matrix, such as the mind numbing S&P 500 short vol straddle options strategy, may in fact be very correlated to the stock market during times of crisis.  But overall I consider the statement that managed futures has the potential to be uncorrelated during times of crisis to be reasonably  accurate – and a powerful point of market positioning.

SIGNFICANT GROWTH OF ASSETS

Another interesting graphic is to show that amazing AUM growth chart and simply ask the question: Why?  The historic rise in AUM is  interesting for this reason: investors had to work very hard to place the investment, in most cases circumventing traditional financial advisers.  That speaks volume to current economic times and strong desire for portfolio diversification that has generally been ignored by traditional Wall Street.

 

Notes: Source for first four charts is the Chicago Mercantile Exchange: Portfolio Diversification Opportunities (Click here to link to that report ).   Source for Assets Under Management graphic BarclayHedge and the book High-Performance Managed Futures.

 

Past performance is not indicative of future results.  There is risk of loss when investing in managed futures.  This investment is not well suited for all individuals.  An investment in a single CTA manager may be more volatile than the performance displayed by a diversified index.