CNV Capital Management LLC : Adaptive Alpha Strategy (Prop)

Summary

CNV Capital Management LLC is a managed futures fund (CTA) that has developed the Adaptive Alpha Strategy which contains a low volatility breakout model, as well as a high volatility mean reversion model. Richard Weissman is the CEO and head of trading; he is an industry leader who teaches professional traders risk management and trading, and is the author of the well known book "Trade Like a Casino", as well as "Mechanical Trading Systems".

Investment Strategy

The Adaptive Alpha Strategy is a proprietary, short term (2-10 days hold time) managed futures strategy applicable to all markets. The strategy seek to minimize risk by trading assets that experience a statistically significant increase (or drop) in volatility thereby capitalizing on an asymmetric risk/reward profile which consistently arises in all assets due to the cyclical nature of volatility. The Adaptive Alpha strategy uses two different time-sensitive mathematically-derived volatility indicators. The shorter-term indicator determines where we are in the volatility cycle. The longer-term volatility indicator is then used to determine how we manage positions once we've entered the market (in terms of both risk management as well as position management - e.g. where we place stops, when we move stops). The Adaptive Alpha strategy is a 100% systemic approach with low to negative correlations to other major asset classes such as equities, debt securities, real estate and precious metals. CNV only trades the most liquid assets from the following asset classes: equity index futures, interest rate futures, energy futures, metals futures, agricultural futures, FX futures.

Risk Management

We strive to never risk more than 1% of AUM on any single position. Risk is further dampened by our proprietary correlation analysis so that we strive to have risk among positively correlated assets never exceed 2.5% of AUM.