Intercontinental Managed Futures : ICMF Global Momentum Trading Program

Summary

New breed of Professional CTA managing the near-term risk in a long-term outlook. 5 years of third-party program testing and infrastructure development came ahead of raising AUM. Stand-alone alternative investment, offering a challenge to limited Option and ETF portfolio insurance. Long or short exposure in-line with global market momentum, with no overnight exposure. Built around changes in Vega (volatility), automatic position adjustments, and risk-to-exit strategies. Conservative research-driven trade team with multiple skill-sets and forward-thinking outlooks. Hourly program reviews, which contain exposure to quick shifts in global market sentiment. Educational program generating daily Client Notes, keeping investors connected to the Manager. Tailored and transparent reporting, with 24/7 client access to their own Managed Futures account. Former Bank of England trader at the helm with over 30 years of global market experience. Business operation built by staff with back office expertise in Fortune 500 companies. Assisting IB’s, Allocators, and Investors in achieving their goals with a loyal and inter-active CTA partner.

Investment Strategy

The US-based Global Futures Momentum Program (GFMP) offers traditional portfolio diversification with on-exchange Equity Indices, Bullion, Dollar Index and Currency-based Futures contracts. The program monitors changes in commercial and institutional global market momentum and sentiment, creating near-term price dislocation, which in turn forces institutional risk exposure adjustment. The methodology merges old world trade desk specialist experience with new world non-discretionary quantitative models. The program looks to profit from increasing near-term volatility, or Vega (the sensitivity to changes in Implied Volatility). Stocks tend to be Vega-Negative; creating a negative reaction to volatility change. GFMP is designed to be Vega-Positive; looking to protect capital and limit downside exposure in long-term portfolios when volatility strikes, while also participating in Vega-induced upside moves. There are no complex strategies, calendar spreads, derivatives, hedge, or arbitrage positions; just simple use of buy or sell front-month Futures positions. GFMP is a non-discretionary program, designed with a standardized filter process as the final step to determine trade exposure and contract size. The program allows all trade signals to be implemented, while automatically filtering for exit and target areas in a non-discretionary process.

Risk Management

Risk management takes precedence over all other component parts of GFMP. An automated trade filter process is in place so that a daily loss does not exceed a predefined capital percentage amount (outside of a catastrophic FCM/Exchange-related situation which could be outside of the program’s control). Risk tolerance is achieved with automatic use of Loss/Target ratio analysis designed to adapt in real-time to changes in market sentiment. Risk is systematically predetermined using global market alignment, price action, time of day, and breaking-news impact. The program limits the intra-day exposure of individual positions to a predetermined value and assesses the risk to reward ratios as each position moves. Risk analysis and the constant monitoring of the strength of global market sentiment are integral components of the program. Block allocations and front-month futures contract are used to create a straightforward process that allows for quick unwinding of positions if required. It should take less than five minutes to liquidate the entire program under normal market conditions, and is a reason for favoring highly liquid Futures contracts. The system generates entry and exit points ahead of time following a repeatable trade management process with trailing price points implemented on all positions.