Hyde Park Associates : Hyde Park Composite

Summary

-Hyde Park Associates (HPA) is a Chicago based CTA that seeks to achieve superior risk-adjusted returns by trading a large diversified global array of exchange traded futures markets. As of February 2006, HPA had Assets Under Management of $115 million USD among all programs. HPA currently has at its disposal an array of unique, distinctly different trading systems or "models" to initiate directional trades in as many as 50 liquid, exchange-traded, worldwide futures contracts (the "Models"). The Models' objective is to achieve significant absolute returns (performance without regard to the performance of the U.S equities and futures markets). HPA uses proprietary computer driven methodologies, combining statistical and technical analysis, to identify low relative risk trade points to enter positions. Positions are subsequently maintained, and risk dynamically controlled, in an attempt to maximize the performance of the individual asset within its sector and subsequently the portfolio as a whole. The models employ a proprietary weighting module that dynamically optimizes Sharpe by sector. This unique sizing methodology tends to de-lever when projected performance becomes poor and then re-lever when performance is projected to improve. Hyde Park believes that portfolio construction and sector coverage is fundamentally the most important component to achieve steady returns and to maximize Sharpe. The result is a model that provides relatively low downside correlation to other trend following methods.