London Systematic Advisors

Futures Statistical Arbitrage

Year-to-Date
N/A
Minimum Investment
2,500,000
Management Fee 1.00%
Performance Fee 25.00%
Annualized Volatility 7.04%
Sharpe (RFR=1%) -0.81
CAROR -4.83%
Assets 7,750,000
Worst Drawdown -20.85
S&P Correlation 0.04

Summary

The Futures Statistical-Arbitrage Strategy has an investment objective to achieve positive absolute returns, with low correlation to any major bond, equity, currency, or broad market hedge fund index and other CTAs over intermediate term holding periods. To achieve this, the Strategy employs a fully systematic, algorithmic trading approach that utilizes a number of human-understandable trading sub-strategies. As such, while the sub-strategies are computerized they are not “black-boxes” and many of the concepts come from applications that aren’t commonly applied to managed futures. The focus is to trade only highly liquid exchange traded futures and spot foreign exchange to allow for liquidity and transparency. At present 34 futures markets and five cash currencies are traded (currently for hedging only). Overall average holding periods are around 7 days, but vary from sub-strategy between 3-30 days.