Transtrend B.V. : DTP – Enhanced Risk (JPY)

Summary

(1) 25+ years track record providing attractive risk-adjusted returns with low correlation to major asset classes; (2) Systematic medium term trend following without any long equity/bond bias; (3) Disciplined, sustainable and proven investment process.

Investment Strategy

The Diversified Trend Program (DTP) is our managed futures program, with a track record going back to 1992. DTP is designed to participate in trends. As investors, we can only do so by taking positions in markets. While DTP’s trading systems are only fueled by prices set in the markets they trade, the program is geared towards capturing the underlying trends. We realize that most trends in markets are a reflection of trends and developments in our society. Each single development – such as a move towards the exploration of shale oil, or a move towards driving electric cars – is typically reflected by trends in a number of different markets. In our approach such a development represents just one trend. With DTP we strive to be positioned in different trends. This requires trading many different markets, including less-mainstream markets and ‘synthetic’ markets. These markets are selected and constructed as our vehicles to ride the underlying trends. A strong feature of DTP is its demonstrated ability to perform well during periods of market stress, especially those accompanied with declining stock markets. Our investors appreciate this – it makes DTP a welcome addition to their investment portfolios. But this feature does not come automatically with the program’s investment style. It is the aimed for result of many choices we deliberately make – choices that are at the very heart of our investment process. Also at the very heart of our approach is the acknowledgement that we have to continue developing and adjusting all components of DTP to stay in sync with the markets. New markets spring up, others wither. And the ongoing modernization of market platforms and the shifts in behavior of their participants is fundamentally changing market dynamics. Such developments cannot be neglected; we believe that no trading strategy can be used for more than a few years without adaptations. An evolving world requires an evolving approach: the 25+ years track record of DTP is the result of that.

Risk Management

At the heart of DTP lies a unique, layered risk management approach. Managing money starts by not losing too much. While that may be easy in normal market circumstances, it is the extreme events that really matter. DTP works with a maximum portfolio risk tolerance: (1) DTP aims to limit the expected aggregate impact of a major adverse price movement in any market ‒ taking into account the co-inciding adverse price moves in correlated markets; (2) DTP does not target a constant portfolio volatility; (3) Actual levels of portfolio risk vary with opportunity.