Snowbridge Asset Management LLC : Projective Trend Program

Summary

The Projective Trend Program is designed to produce consistent annual returns by capturing medium-term trends in global futures markets while tightly controlling portfolio volatility. We have developed innovative and intuitive methods to dampen downside risk and volatility while preserving long-term average annual returns. All aspects of the program are 100% systematic and are designed to provide the broad benefits of Managed Futures products.

Investment Strategy

Two models have been developed to separately identify trends and forecast returns in a single market. Both models are designed to be adaptive, allowing the significance of recent market moves to vary, and drive the initial decision whether to be long, short, or flat a given market. These models are uniformly applied to a diverse set of over 50 liquid futures markets across 5 broad sectors in 3 global regions. Daily bottom-up risk management begins with individual position sizing based on underlying market volatility and recent model performance. Protective stop losses at the individual market level are also used. All individually-managed positions are combined into a portfolio through our portfolio construction process which stresses diversification. A final layer of top-down global risk management is then applied which can aggressively increase or decrease leverage across the portfolio as a whole. These three components, directionality models, portfolio construction and risk management, combine together to form the Projective Trend Program.