Flyberry Capital, LLC : Systematic Big Data Program

Summary

Flyberry's big data program is systematic, quantitative managed futures program that exploits short-term price moves in response to high-impact information shocks as manifested in news and events. Nearly 60 trading models are in production. The current portfolio comprises 18 well regulated, highly liquid exchange traded futures encompassing 5 market sectors.

Investment Strategy

We approach investing from the standpoint that news and sentiment are critical drivers of asset prices.  We evaluate and transform vast amounts of important macro- and micro-economic news events and generate trading signals to buy and sell. Our investment models are carefully tested and optimized over a broad range of market conditions before they are permitted to risk investor capital.  All investment decisions are made in the context of a rigorous empirical approach that seeks to carefully identify and weigh potential risks and rewards. Our research team works with massive data sets — from government and business statistics, to social media and sentiment opinion, to weather and seismic measurements. We seek to synthesize these quantitative and qualitative information sources to generate new investment insights.  This disciplined, "big data" approach to investment management catalyzes insightful trading decisions that seek to generate real alpha while effectively managing risk.

Risk Management

Positions are sized according to each model’s historical VaR. Risk to the portfolio per trade ranges between 0.5% and 2.0% at the 97.5th percentile and is conditional to a model’s opportunity sets and recent performance. Maximum portfolio-wide risk (“risk-to-stop”) is set to 5% of NAV.