Quantis Asset Management : Ulysses Futures

Summary

Ulysses Futures program has been designed by Nicolas Lequeux. The investment program objective is to build regular performance by capturing intra-week moves on the worldwide main futures stock indices. It targets an annualized net return of 10% with a volatility and maximum draw-down below 10%.

Investment Strategy

The strategy is a short-term mean reverting pattern-recognition system. The system follows the market's intraday price activity and immediately detects some market configurations where excess can be identified with a very high probability of correction within the next 24 hours. IN average, this type of configuration can be detected between one or two time a week generating above 55% positive trades with a duration ranging from 6 to 32 hours. It will trade a maximum of once per day per market, with no position during weekend. The strategy is 100% automatized. By focusing on a very short term time horizon, Ulysses Futures program tends to produce a positive performance with a complete lack of correlation, not only to traditional investments such as stocks or bonds, but also to major other alternative investments indices. The capacity is estimated to $500 million.

Risk Management

ULYSSES uses a traditional fixed fractional allocation between systems and markets. A stop loss is used for every position. Positions sizes are inversely proportional to the current volatility while a corresponding stop is defined. Some correcting factors are defined to take into account other type of risk such as liquidity. Given these assumptions, the overall portfolio is equally balanced between all markets risk.