LongTail Alpha Enhanced Systematic Trend Following
Executive Summary
The LONGTAIL ALPHA ENHANCED SYSTEMATIC TREND FOLLOWING FUND LP seeks to achieve superior risk-adjusted returns through an enhanced time-series momentum (or "trend following") strategy. The investment strategy of the Fund is designed with the intent to capture excess returns and provide diversification in markets that trend up or down by following systematic rules-based trading strategies for investing in liquid derivatives across interest rates, foreign exchange, commodities, equity, and volatility markets.
The strategy incorporates the latest developments in financial research to radically improve the framework for trend following strategies. The approach uses the deep theoretical and empirical connections between options and time series momentum to systematically create long exposure to the tails of the distribution of market returns. This results in rules for implementing positions, for sizing, for risk management, and for profit taking. By using options both explicitly and implicitly, the portfolio aims to mitigate severe trend reversal risk, and thus provides diversification against not only core investment exposures to risky assets, but also to other, more traditional trend following strategies
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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.
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