Year-to-Date
N/A
Minimum Investment
$ 10,000,000
Management Fee 0.00%
Performance Fee 25.00%
Annualized Volatility 31.15%
Sharpe (RFR=1%) 0.20
CAROR 2.18%
Assets $38,000,000
Worst Drawdown -63.11
S&P Correlation 0.05

Summary

The Mosaic program is an ensemble of 100% systematic, quantitative, short-term futures trading models that evaluate and modify market positions on a daily basis. Mosaic's most recent modification was implemented in December 2007 when, after extensive research and testing, additional models were incorporated into the program.* Trades are “event driven”; each model has entry and exit criteria that depend on market-dynamic-driven metrics. * Trades are based on statistically-optimal decisions that are determined based on historical data (position sizes are dynamically re-sized on a daily basis). * Multiple, independent algorithms are employed concurrently to improve risk-adjusted returns and enhance robustness. * Multiple variants used for each of the algorithms to avoid over-fit, datamined choices of model parameters. * Individual signals from all models are combined to form an aggregate signal that determines positions on a per-market basis. * Positions (net long or short) are typically held for 1 to 5 days (average trade length = 3.6 days).