Summary

CTA diversified across 48 futures in fixed income, equity, commodities and forex markets
50% long only (1/3 fixed income; 1/3 equity; 1/3 commodities) & 50% long short (1/4 fixed income; 1/4 equity; 1/4 commodities; 1/4 FX)

Daily quantitative and systematic process applied on each Sub component of the Portfolio split into two distinct stages: 1) risk-driven allocation that defines a Risk Budget for each Market in the investment universe on a daily basis; 2) determination of the position (long/short and the quantity) on each Market based on a signal definition and a position sizing from a series of risk , momentum and Leading Macro Indicators computed from market data. Positions always remain within the Risk Budget and are re-calibrated daily depending on market variations. The Risk Budget is defined in order to match the volatility target of the fund (20%).