The Programme is based on a multi-phase long-term trend-following system and is completely mechanical and broadly diversified. Sector weightings are determined using a proprietary orthogonal decomposition algorithm. The Programme seeks to profit from the long-term volatility manifested in major price dislocations, but insulate the equity curve from the impact of short-term volatility. Position liquidations are triggered by statistically significant adverse price action and never at pre-determined objectives. This strategy allows the system to participate in multi-year trends, generating commensurate profits. The system engages in options strategies to protect unrealized profits and reduce portfolio volatility.
Mulvaney Capital principals include: Paul Mulvaney.
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