Winton's investment technique consists of trading a portfolio of around 60 contracts on major commodity exchanges and forward markets worldwide, employing a totally computerized, technical, and broadly trend-following trading system developed by its principals. This system tracks the daily price movements from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be to maximize profit within a certain range of risk. If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.
Winton Capital principals include: David Winton Harding, Osman Murgian, Martin John Hunt and Brian Draper.
"Sunrise utilizes technical, trend-following systems, which trade a wide continuum of time windows. Most of these time frames are decidedly long term by industry standards. Pro-active money management strategies are designed to protect open profits and minimize exposure to non-directional markets. Their trading methodologies are executed pursuant to technical analysis emphasizing mathematical and charting approaches that have been either learned or developed by Dr. Davis, Dr. Forrest and/or Mr. Slaughter. Sunrise's systems will attempt to detect a trend, or lack of a trend, with respect to a particular market by analyzing price movement and volatility over time. The system consists of multiple, independent and parallel systems, each designed and tested to seek out and extract different market inefficiencies on different time horizons."
Sunrise Capital principals include: Martin Klitzner, Richard Slaughter and Gary Davis.
Marathon Capital Firm Disclosure:
Marathon believes its systematic trading approach is structured and well defined. The signal generator utilizes a number of independent trading systems. These systems analyze market movements and internal market and price configuration. Each system differs primarily in its sensitivity to price action. The primary objective of each trading system is to profit from major and sustained Futures Interest price trends. More than one system may be used to generate trading decisions for a market. The systems and parameters utilized are similar for similar markets. The computer-generated signals are implemented with discipline and in an unemotional manner. Notwithstanding the above, Marathon may, in its discretion, override system signals under certain market circumstances. In an attempt to limit losses, each system-generated position maintains a stop-loss point.
This point is predetermined daily by a proprietary computer model. Daily exposure for each separate market position is normally confined to less than 2% of equity, but may range from less than 1% to as much as 5% (or more) of beginning month equity on an intraday or overnight basis. Losses may, however, exceed these amounts. Portfolio volatility is also monitored daily. Because of diversification, portfolio volatility is normally less than 1% of equity but may range to as much as 3% (or more) of beginning month equity.
Accounts are frequently rebalanced. During periods of declining equity, this rebalancing attempts to ensure that account exposure is maintained properly so as to not accelerate the decline further. Conversely, during periods of asset appreciation the number of contracts traded will be increased maintaining the exposure level and increasing the chance for accelerating gains. Marathon believes that preservation of capital during unfavorable markets is one of the keys to successful money management. Marathon's proprietary portfolio risk filter is designed to identify certain conditions that have historically proven ideal for both increasing and decreasing portfolio exposure.
This risk management approach incorporates multiple systems. Volatility is one of the primary components in determining when to increase and decrease portfolio exposure. Average volatility is monitored in a variety of time periods daily, weekly and monthly. The risk management model is systematic and operates independent of the signal generator. Its parameters, however, are based on empirical data generated by the signal generator. The independent risk management system is designed to attempt to maximize profits when markets appear to have the potential to experience favorable moves by increasing portfolio exposure and reducing exposure when conditions change.
Man Investment Products, Ltd., formerly AHL, have been applying a systematic and disciplined approach to trading the world's markets for more than ten years. Complex trading systems, built around ideas generated by the research team, are designed and tested in Man Investment Products' proprietary software environment. This has been developed specifically to investigate market behavior and to support their risk management techniques. Risk control is of paramount importance and Man Investment Products' systems are monitored continuously in an effort to ensure that predefined limits are not exceeded. New markets are never overlooked and progressive ideas are constantly tested to enable Man Investment Products to remain at the cutting edge of the trading arena.
"Eclipse Capital Management, Inc. is one of the world's largest and most experienced alternative investment management firms specializing in the directional trading of financial futures, interbank foreign exchange, and equities. Since its incorporation in 1983, the firm has been at the forefront of innovation in global investment strategies and was among the first U.S. investment managers to extensively trade in the global futures markets. Today, it manages portfolios that include more than 40 different markets, representing the equity and financial instruments of the world's leading economies. Based in St. Louis, Missouri, Eclipse Capital offers a variety of alternative investment products to institutions, trading managers and family offices throughout the world."
Eclipse Capital principals include: Thomas Moller.
"Drury Capital's Diversified Trend-Following Program is classified as systematic and technical. Systematic traders relay primarily on trading programs or models that generate trading signals. The systems utilized to generate trading signals are changed form time to time (although generally infrequently), but the trading instructions generated by the systems being used are followed without significant additional analysis or interpretation."
Drury Capital principals include: Bernard Drury.
TAMI's Domestic 2X trading program is a fully-systematic trading system that seeks to benefit from intermediate-term moves in a broad basket of futures markets traded on US exchanges or otherwise denominated in US dollars. The program utilizes one model which is uniformly applied to all markets traded.The program's model utilizes a single entry method, although multiple risk-management exit strategies are used. The program is fully systematic, however TAMI's principals on occasion may elect to reduce positions in order to manage program risk. Position size in the markets traded is derived from TAMI's return and drawdown targets. The Domestic 2X program targets an average annual return of 30-50% with annual expected drawdowns of 20-30% and an occasional drawdown of 30-40%. This leverage is higher than many managed futures programs.
Transtrend applies trading strategies with a demonstrated profit expectancy over the course of time. More in particular it attempts to exploit non-random price behavior based on quantitative analysis of price patterns. Its trading strategies, also called trading systems, are well researched, entirely systematic and applied with skill and discipline. The systems are applied to over a hundred different product-market-combinations. Diversified Portfolios consist of a variety of financial and commodity futures. Correlation analysis pursues a good portfolio balance. Volatility plays a prominent role in the assessment of risk. Compatability between systems and markets is monitored. Multiple entries and exits contribute to the stability of the performance.
TransTrend principals include: Gerard van Vliet, Johannes P.A. van den, Jaap Schotanus and Harold M. de Boer.
The Diversified Program uses a long-term trend following system for 64 different commodities from the following groups: foreign currencies, metals, interest rate instruments, meat complexes, grain complexes, food and fiber and oil products. This system is a technical system, which has been computer generated. For any individual commodity, this system will be long about 1/3 of the time, short about 1/3 of the time and flat about 1/3 of the time.
Quicksilver Trading principals include: Richard Whited and John Pullman.
The DIVERSIFIED Trading System can be generally classified as a long term system that seeks to take advantage of the diversification of the underlying methodologies utilized by the five Little Brook trading programs. In general since the DIVERSIFIED Trading system is long term in nature, large and sustained directional movements in the futures markets are necessary for the system to be profitable.
Mt. Lucas principals include: Frank Vannerson, Timothy Rudderow, Roger Alcaly and Paul DeRosa.