Sagat Capital Ltd : Diversified Systematic Program (Client)

Summary

SAGAT Capital is a short-term systematic managed futures firm. Our trading ethos is centred on Evolved Momentum Persistence that exploits trends and price reversals in the world's futures and forex markets. SAGAT Capital successfully fuses global macro methods with systematic trading techniques.

Investment Strategy

Our methodology has been developed by its traders on the basis of over 25 years of institutional global macro/RV trading experience in commodities, fixed income and foreign exchange. We look to emulate how a global macro trader operates within any particular market through our algorithms. We recognize that trend following and mean reversion are the two main techniques that a directional trader employs. However, a discretionary trader would employ them at will depending upon the price environment that is prevalent within a chosen market. We build algorithms that allow us to emulate this mode of action. Our algorithms will operate as trend followers when necessary and mean reversion players when the price environment dictates. We have systematized the process and capture the mathematical edge that these algorithms have identified over time.

Risk Management

Risk management is an important element of the Program and is an integral feature of the investment process. We operate a true reversal, non-accumulating system. Our models always have a live position in the market (either long or short) without any pyramiding.

New models are added to the Program only if they satisfy pre-determined criteria of having both attractive risk-adjusted returns and a low correlation to the incumbent models. Our aim is to have as close to zero net exposure across markets as possible. In this way, we reduce our exposure to concentration risk. Various real-time indicators are utilized to monitor concentration and risk levels over a number of time horizons.