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From Kirsten Bischoff, Opalesque New York:

Stonehenge Asset Management (SAM) is launching a new Futures and FX diversified short-term quantitative trading fund. They are offering a straight ‘vanilla’ fund along with a principal protected option without a lock-up or early withdrawal fee.

The Florida-based Stonehenge, named after the monuments which have “stood the test of time”, uses short-term volatility to take advantage of price movements in managed futures and off-exchange foreign currency markets. The SAM portfolio turns over approximately 1.5 times per day, per market, utilizing quant methods. It currently executes most trades manually, focusing on the “perceived open outcry sessions” of futures markets; however the team at SAM expects to shortly add auto-execution algorithms, which they are currently in beta testing.

“We’re really trying to stretch our strategy to other markets as well,” SAM President and CIO, Steven Michael told Opalesque in a recent interview. Exploring expansions into KOSPI index futures, and Chinese futures and commodities markets, is driven not only by the opportunities Michael sees in those regions, but also by a commitment to enhanced scalability.

Michael explains the drive behind such growth is from the focus on maintaining (or improving) risk-adjusted returns even as the firm grows.

“I come from the institutional side,” explains Michael. “Our focus at SAM is risk adjusted returns, not absolute returns. D......................

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