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French CTA boutique launches UCITS version of flagship fund

Thursday, July 14, 2011

Francois Bonnin
Opalesque Industry Update - French fund management boutique John Locke Investments launched a UCITS compliant version of its flagship fund, the Cyril Systematic USD Fund, on 1st July. The UCITS fund replaces an onshore version of Cyril Systematic that previously existed.

The new UCITS structure will allow the firm to distribute its fund abroad more easily than the previous onshore structure. And the strategy will remain exactly the same as the original version.

The Cyril Systematic USD Fund, launched exactly 11 years ago, manages around $17m, according to John Lockes website. It invests in global futures markets with a systematic trading approach, using multiple trend detection techniques over multiple time horizons. Risk is equalised across all contracts through the use of real time volatility measures. And average holding periods last approximately two weeks.

The fund was fund down 3.26% in June and down 9.61% YTD (annualizing almost 8% with around 13% volatility). Most loses in June occurred in the energy sector, especially in the Brent Crude, natgas and gas oil markets. Also in metals, equity indices, and grains. Gains were made in bond and short term rates trading.

Comparatively, the Barclay CTA Index was down 1.27% (est.) in June (-1.47% YTD). Also the UCITS Alternative CTA Index returned -0.93% in June (-2.43% YTD).

John Locke Investments (JLI) is an independent alternative asset management company based in Fontainebleau, France. JLI is regulated by the A.M.F (Autorit des Marchs Financiers), is registered with the Commodity Futures Trading Commission (CFTC) as a Commodity Trading Advisor (CTA) and as a Commodity Pool Operator (CPO) and is a member of the National Futures Association (NFA).

B. Gravrand

See last years Opalesque TV interview of Francois Bonnin, CEO and hedge fund manager at John Locke: Part 1, Part 2.

And the corresponding articles:
Opalesque Exclusive: John Locke's CEO Bonnin (1): How he discovered the world of quant and why the French like it so Source
Opalesque Exclusive: John Locke's CEO Bonnin (2): Stepping up from trend following to Machine Learning, Chains of Markov, Support Vector Machines and Kelly Rule Source

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