Leupold Capital Management, LLC : Leupold Global Short Term Systematic (client)

Summary

The Leupold Global Short Term Systematic strategy is short term in nature with holding times ranging from intraday to three days.  Multiple momentum and mean reversion strategies are applied to a diverse group of 40 global markets in multiple non-correlated market sectors.  Strategies are designed to benefit from structural and explainable market inefficiencies.

Investment Strategy

The Leupold Global Short Term Systematic Strategy is short term and systematic in nature and aims to take advantage of short term price dislocations in the market. The program is comprised of a number of underlying systems and methodologies. While the average holding period of a position over the entire portfolio is approximately one day, there are underlying systems that may hold intra-day positions and others that may hold positions as long as three days. Entry signals are derived from price action while the exits use a time horizon in addition to price action. All of the underlying systems have a hard stop exit point and most have profit targets at trade initiation. The program is designed to respond to different market conditions, dictating whether the system is in momentum or mean reversion mode. The system uses many common technical indicators such as moving average and relative strength, however, the strength of a trade signal is dictated by LCM’s proprietary indicators. The program primarily trades global markets in the following sectors: Equity Indices, Interest Rates, Energies, Metals, Currencies, and Agricultural

Risk Management

Leupold Capital Management's (LCM) top priority is risk management. The firm monitors risk by individual market, sector, and overall portfolio exposure. LCM has strict position limits and stop loss orders are generated at the same time as an entry signal. The firm also looks at market correlations to dictate risk per market and sector.