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Alternative Market Briefing

Sabre Adaptive Trading Fund, a less directional CTA

Tuesday, October 06, 2009

By Benedicte Gravrand, Opalesque London:

London-based Sabre Fund Management announced in early July that it had launched a new quantitative futures strategy – the Sabre Adaptive Trading Fund.

The fund is one of a new breed of CTAs, employing a more scientific approach to generating returns from futures markets and thus aiming to provide, aside from the returns, low correlation to other CTAs – its typical correlation would be in the region of 30%.

Sabre uses classic strategies (momentum and break-out filters), as part of a total of seven strategies – all independent models - with two more strategies to be released soon.

“We believe that’s the way to manage a CTA because that is how you actually increase the quality of your returns; by constantly fine-tuning your existing strategies and developing new ones,” says senior portfolio manager Alexandre Guillaume, in an interview with Opalesque at Sabre’s offices – two minutes’ walk to Buckingham Palace.

Focus on R&D Overall, CTAs are good performers, Guillaume says, as Sharpe Ratios are usually consistently close to 1. But they can have sharp draw-downs (10 to 20% is common), which can be difficult for some investors. Sabre Adaptive is trying to address what may be for some an anxiety-provoking problem by develop......................

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