Kronos Management, LLC : EMMA Program (Proprietary)

Investment Strategy

The EMMA Program is a discretionary long/short managed futures program. Combining macro analysis and trend following, the program utilizes a set of basic inputs to systematically generate and evaluate the likelihood and consequence of trade ideas. The resulting Favorability Index is the synthesis of factors in market sentiment, supply/demand, technical analysis, inflation, economic conditions, seasonality, interest rates, weather events, and their influence on each focus commodity. Based on the belief that market is inefficient in accounting for commodity cycles and the inherent lag in supply/demand response, the program seeks market dislocations, structural alpha, and minimal correlation to the equity markets. A successful trade typically has a good fundamental tailwind, decent trend, and prevailing bias. The program has a focus on energy, metals, meats, and agricultural, but the Advisor may choose to invest in other market areas if market conditions warrant. Trade horizons are typically short term (3 days to 3 weeks) and directional in nature.

Risk Management

Risk control by inter-commodity hedging and short term options is sometimes implemented to mitigate tail risk events. Position sizing is based on favorable reward-to-risk ratio and a target margin-to-equity ratio of 5% to 8%.