Summary

The program's objective is to generate attractive risk adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio of global futures and currencies. The fund incorporates technical strategies that exploit the tendency for markets to influence each other while seeking diversity across time horizon and signal information. Investment ideas are executed systematically using both market-based and macroeconomic information to forecast market direction based on financial theories governing asset pricing and investor behavior. Trend Following Models: Systematic trading strategies based on traditional and alternative trend following methods to exploit future market moves. A focus of the model series is to equalize exposure to broadly diversified portfolios, multiple time horizons, strategies, asset classes, and signal information. Proper position sizing and risk control are closely monitored. Non-Trend Following Models: Systematic trading strategies that use information specific to a particular sector that may be price-based and/or will include macroeconomic and fundamental information to forecast global financial market trends and inflection points. Based on model forecasts about future large-scale trends, positions are independent of trend following models, producing a lower correlation of returns to the trend following model series above.