Rotella Capital Management : Rotella Chora Volatility Program

Summary

The Rotella Chora Volatility Program identifies and monetizes statistical patterns in volatility that we believe result from the aggregate herding behaviors of investors. We build systematic trading algorithms that are based on our hypothesis that financial markets are complex adaptive social systems composed of individually irrational investors subject to ‘nearest neighbor’ influence dynamics. Investors’ aggregate behaviors give rise to risk herding that produces distinct statistical fingerprints, particularly in measures of volatility. The Program represents the best volatility algorithms from Rotella Capital Management, Inc. and Chora Capital, LLC that are combined using a proprietary allocation process. The Program systematically trades volatility long and short through worldwide equity index futures and their associated volatility instruments. Our trading occurs over relatively short time horizons in an attempt to monetize short and medium term equity market volatility with the goal of producing stable and attractive risk adjusted returns. The Program is available currently through a managed account structure.