Automaton Trading LLC

Diversified II

Year-to-Date
N/A
Minimum Investment
$ 10,000,000
Management Fee 1.00%
Performance Fee 20.00%
Annualized Volatility 6.10%
Sharpe (RFR=1%) -0.09
CAROR
Assets $20,000,000
Worst Drawdown -8.45
S&P Correlation 0.26

Summary

The Diversified Program is the firm’s original strategy. It is based on the implementation of a portfolio of 100% systematic trading models. The goal of these models is to identify and exploit short-term and intraday market inefficiencies and put more emphasis on strategy intelligence over speed of execution. The Diversified Program does not utilize any High Frequency Trading (“HFT”) methods in its signal generation, but the program will use HFT for execution to minimize slippage. The Diversified Program is designed to trade the 42 most liquid US and European futures including equity, metals, interest rate, agriculture, energy and currency markets. The program aims to trade on the CME, CBOT, NYMEX, COMEX, ICE, EUREX and LIFFE exchanges, across a myriad of contracts in each of the aforementioned markets. Although the Diversified Program aims to trade these markets, Automaton reserves the right to trade in any market, through any product, where it has determined an opportunity may exist. The program is focused around signal generation, which consists of a mix of technical mean reversion, trend following and seasonality models implemented using artificial intelligence methods. As part of its strategy, the program does not follow typical, long term trend following logic. Positions are generally held intraday and may be held overnight. The program utilizes strict risk management guidelines, which are based on a clear set of rules that adjust the portfolio dynamically depending on shifting market conditions. The typical client portfolio will consist of 40+ independent trading systems that seek to generate independent returns. The program implements proprietary optimization techniques that take into account out-of-sample performance to minimize curve fitting. Larger accounts have the opportunity to participate in more trading systems than smaller accounts, which may result in differences in rates-of-return. For this reason, the performance of larger accounts is presented separately as “Program II.”