Emil van Essen : EvE Systematic Global Opportunities

Summary

EvE Global Opportunities is a systematic multi-model futures program with the objective of capturing short-term directional price drift that tends to accompany volatility expansion regardless of long-term market trend.

Investment Strategy

The multiple models share a low correlation to each other yet target the same objective of capturing market expansion. This diversification of models (along with diversification of markets) and objective approach allows us to identify different aspects of price structure preceding market expansion and maximizes our opportunities to capture such moves. The multiple models also allow us to benefit from different price structure in exiting the positions capturing both short-term and longer-term directional price drift regardless of the overall market trend. The portfolio is comprised of 38 global futures products covering Asia, Europe and the US and has an average hold of approximately 4.5 days.

Risk Management

Each individual model has its own constraints built-in with regard to risk (for example stops, profit levels, hold periods) which is then further governed by filters that are applied to the portfolio as a whole. At a model level, each is given the same amount of fixed fractional portfolio risk based on its historic and ongoing return stream. At a portfolio level, our Concentrated Exposure filter identifies clusters of correlated market and model exposure in both existing and possible positions and reduces this exposure where needed. Further, our Volatility Targeting filter will target the portfolio volatility with the objective of staying in range of our targeted annualized volatility level of 10% regardless of general market environments.