Wimmer Horizon LLP : Managed Account

Summary

Underpinning Wimmer Horizon’s investment philosophy is the concept that financial markets do not appear to be efficient and experience persistence of behaviour in the form of price trends. This can be somewhat explained by influences of crowd behaviour, information absorption delays, changing fundamental drivers and the macro economic evolution of global economies.

Wimmer Horizon attempts to capture price trends over multiple time horizons for a globally diversified portfolio of assets. Price trends are not smooth and market movement is not evenly distributed through time and is in itself quite complex. One key differentiator for Wimmer Horizon in this space is that Wimmer Horizon’s research recognises this and models complex price behaviour with a highly unique blend of proprietary linear and non-linear strategies. These strategies are fully automated and Wimmer Horizon believes are better able to deal with price behaviour such as abrupt price reversals and variable range conditions.

The advantage of automated trading systems is that they deliver a consistent, disciplined trading approach that not only enhances risk control but opens up a wealth of historical data for analysis and research. The certainty of action that is delivered from automated trading systems means that one can be certain about their trading actions on past data. A researcher can then instigate experimental investigation that leads to the discovery of potentially persistent phenomena in markets.

Investment Strategy

The Wimmer Horizon Programme is directional in nature and seeks to take advantage of upward and downward trending markets. The model seeks to maximise diversification whilst reducing risk. The portfolio construction methodology is designed to be adaptive, favouring team players over persistently correlated markets to target diversification. The Horizon Program blends the rigor of scientific method with the automation of trader skill to capture to model market behavior. The Horizon Program uses proprietary techniques for the identification of trends; Digital Signal Processing (DSP) techniques used to identify market cycles over multiple time frames and pattern recognition techniques used to identify significant turning points in trends. The DSP approach leverages off a large body of scientific and engineering knowledge for the analysis of signal data. The Pattern Approach builds on the experience of David Beach’s 20 years’ of trading using patterns that are unique to Beach Horizon. The combination of the use of rigorous scientific methodology combined with the automation of trader experience creates a robust model that adapts to varying trading conditions. The Horizon Program is directional in nature and seeks to take advantage of upward and downward trending markets. The model seeks to maximise diversification whilst reducing risk. The portfolio construction methodology is designed to be adaptive and avoid trading persistently correlated markets and omit trading markets that do not benefit the risk and diversification profile of the model.

The model operates in a framework designed to control all levels of risk including market, operational and business risk. Risk management controls are applied by the system hundreds of times a day to constantly adjust to the targeted level of market risk. Proprietary risk filters are built into the model to automatically adapt to changing market risks including a trend risk function that mitigates the risk of collapsing trends. Beach Horizon uses a bespoke electronic execution platform that combines algorithmic and trader led execution to deliver efficient execution whilst minimising error risk.

Risk Management

Portfolio allocation methodology attempts to manage portfolio risk by determining the best portfolio that maximises diversification and minimises volatility and correlation. Market risk is controlled by a number of filters that reduce risk on when market risk increases and when the risk of a trend reversing in the short of long term. Market liquidity risk is handled by the firms bespoke execution system that allows us to feedback execution information back into the model. This way the model is ‘liquidity aware’ in real-time. Execution risk is minimised by the use of our custom screens and automated execution system.

Beach Horizon has a bespoke operational framework using Straight Through Processing and automation to minimise operational risk.