Mon, Apr 24, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Hedge fund Ecofin says EDP bid for renewable energy unit 'egregiously low', Asia CIOs say "non" to Europe, Billionaire Mike Novogratz says he has 10% of his money in Bitcoin and Ether[more]

    Hedge fund Ecofin says EDP bid for renewable energy unit 'egregiously low' From Reuters.com: London hedge fund firm Ecofin said an offer from Portugal's largest company EDP to buy 22.47 percent of subsidiary EDP Renovaveis "significantly undervalues" the company, in a letter to EDPR's bo

  2. Alternative asset firm YieldStreet surpasses $100m of loans funded in less than 8 quarters[more]

    Komfie Manalo, Opalesque Asia: Alternative asset investment platform YieldStreet reported that it has surpassed $100m in loans funded in less than eight quarters from accredited investors and single family offices. YieldStreet was founded by Milind Mehere and Michael Weisz. In a

  3. Investing - Investor appetite for high-growth IPOs to be tested, Apollo boosts fund's stock allowance for 'diamonds in the rough', Hedge funds uncertain over outlook for Hargreaves Lansdown[more]

    Investor appetite for high-growth IPOs to be tested From FT.com: The US listings market is poised for a busy week with deals that will test investors' appetite for high-growth - but lossmaking - companies. Eight new listings are scheduled for this week, the most since October of 2016,

  4. Aris Wealth' quant indices fare well[more]

    Benedicte Gravrand, Opalesque Geneva: Last year, Geneva-based Aris Wealth Management launched indices sponsored by Societe Generale Corporate & Investment Banking. These indices replic

  5. Opalesque Exclusive: Gold Sail diversifies into PE and real estate[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The five Purdue University students who set up a hedge fund last year have become four and have diversified int