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By Benedicte Gravrand, Opalesque London:

Swiss commodity funds house Krom River launched the Krom River Commodity Systematic Fund on 2nd March with $16m.

Krom traded the systematic strategy within their flagship fund, the Krom River Commodity Fund, during 2008, and then launched the program as a separate fund open to new investors.

The returns from live trading of the strategy which received an allocation of 2% of assets of the otherwise discretionary Krom River Commodity Fund amounted to 10.73% from Jan-08 to Feb-09, with an annualised volatility of 11.55%.

The fund uses a collection of breakout trend-following systems that are based on pattern recognition models across multiple time frames to hold positions in exchange-traded commodity markets. Positions are sized using a volatility filter and risk management is analysed in real-time.

The initial research and design of the system began in 2003. Long term experience of traders in the commodity markets and recognition of technical signals prompted the investment model, according to Krom River.

The fund’s investment manager is Krom River Investment Management (Cayman) Ltd with Krom River Trading AG as the Investment Advisor. Previously located in London, Krom River Trading AG is now based in Zug, Switzerland, and manages more than $650m. It was co-founded by Chris Brodie and Philip Turner in 2006.

The flagship Krom River Commodity fund was one of the winners at t......................

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