RoboSig FX Alpha Gen Fund
Executive Summary
The Fund's objective is to provide consistent, absolute returns with low volatility. The Fund will invest in liquid FX futures and FX spot contracts based on the currencies of industrialized countries, including USD, CAD, AUD, EUR, GBP, JPY, NZD. The set of instruments chosen are liquid so that trading in and out of the positions is generally available and less prone to slippage. Intraday volatility, margin requirements, and bid/ask spreads constitute another important set of criterion in choosing instruments.
The Fund's mean-reversion and trend following approaches utilize systematic statistical arbitrage models which seek to monetize distortions attributable to flows, positioning, and other price behaviour. The statistical model is designed to identify short-term mispricing opportunities over different markets and time horizons. Live signals for the model have been independently vetted, tested, and traded since September 2016. The average holding period of a position is 8 days, and trades are initiated and executed by algorithms with no human interaction.
Fundamental risk management is focused on diversification by applying statistical analysis to identify tightly correlated baskets of industrialized nations' currencies, and then utilizing mean reversion and trend following strategies to monetize short term dislocations within target baskets. The highly systematic investment discipline allows for measurable risk optimization. Further risk management metrics include per currency limits, basket correlation limits, basket quantity limits, as well as Net Open Position (NOP) notional exposure limits. Additionally proprietary methods are used to stress test models for various market scenarios. Alert and recovery mechanisms are in place for interruption in automated execution.
Strategy also available via managed accounts. AUM reflects total strategy assets.
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Disclaimer Info
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
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Limitations on RCM Quintile + Star Rankings
The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
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