120 Capital Management : Quantamental Global Macro

Summary

One Twenty Capital’s Quantamental Global Macro program seeks to generate strong absolute returns across the business cycle. It trades across global asset classes, utilizing a systematic global macro framework developed by portfolio manager Christopher Xu. Prior to starting One Twenty Capital Management, Chris worked for over a decade as a global macro portfolio manager and chief investment officer at a multi-billion dollar single family office in NYC. Chris was previously a portfolio strategist at Bridgewater Associates, statistical arbitrage trader at Sempra Commodities, and Equity Derivatives Strategist at Lehman Brothers. He graduated from the University of Chicago with honors in 2003, with degrees in Economics and Computer Science.

Investment Strategy

One Twenty Capital uses a combination of systematic strategies and discretionary trades, all based on a systematic framework grounded in economic and market fundamentals. Systematic strategies include systematic fundamental divergence, systematic fundamental carry, and systematic relative value. Each broad strategy category has low correlation to the others, allowing the portfolio of strategies to work across market environments and cycles. Discretionary trades take advantage of novel and unique market setups and conditions that often exist because they are difficult to make systematic.

Risk Management

Each systematic strategy has predefined stops of 2-4% of the portfolio, and discretionary positions have stops of less than 4% of the portfolio. Exposures are adjusted dynamically in response to expected and realized volatility and uncertainty.