AIS Capital Management, L.P. : Frontera Global Opportunity Program (futures only)

Summary

Frontera Global Opportunity seeks to deliver high-quality alpha returns through fundamentally driven, diversified, risk-controlled positions within discretionary and systematic global macro strategies. The systematic strategies quantify over 300 distinct fundamental linkages of economic momentum, fundamental value and price action on over 200 tradable markets. We track 100-plus economic linkages for each tradable instrument and produce daily buy-sell indicators individually (factor-level) and in aggregate (tradable-level). Examples include: the relationship of yield curves and swap spreads to trade equity indexes; the Chinese Leading Indicator and Baltic Dry Index to trade commodities; and credit spreads and the Fed Model to trade government bonds. The objective is to generate Information Ratios at the individual indicator level of 0.10 to 0.50; at the aggregated tradable level of 0.60 to 1.20; and at the asset class and portfolio level of 1.50 or better. Systematic strategies include directional and relative-value trades in global commodities; currencies; equity indices; global short-, medium-, and long-term interest rates; and volatility. The systematic strategy seeks to profit from the notions that, 1) in the intermediate to long run, macroeconomic and market fundamentals determine asset returns, yet 2) it is critical to assess technical conditions in order to preserve capital when shorter-term market forces lead markets to trade away from the fundamentals. We supplement the 90% systematic trading with 10% discretionary macro strategies in order to enhance portfolio performance and reduce portfolio risk. These strategies seek to capitalize on longer-term macroeconomic views and volatility mispricings; to express positions that fall outside the purview of the systematic model; and to protect capital during periods of market stress and fundamental decoupling. The resulting portfolio is subject to strict predetermined risk limits at the position, sector, asset class, and portfolio level.

Risk Management

Not only does the strategy target a clients desired volalitily, it also impliments a drawdown control overlay that cuts exposure by 20% for every 1% of equity lost until the exposure is 20% or the drawdown is over and equity invested rising again.