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Alternative Market Briefing

ETC's new quant strategy returns 35% in Q1

Tuesday, April 05, 2022

amb
Steven Moyer
B.G., Opalesque Geneva:

Eckhardt Trading Company (ETC), an early pioneer of systematic trading, has recently launched a new strategy that analyses market positioning to exploit crowded and uncrowded trades. It has done very well in the first quarter.

The system, developed by portfolio manager Steven Moyer, earned an allocation within ETC by passing a strict internal testing process known as "the gauntlet". Rob Sorrentino, president of Eckhardt, has known Moyer for over seven years and they previously worked together.

Sentiment Alpha, launched in October 2021, finished March up +17.4% after another month of continued volatility across global markets due to the challenges of Covid, inflation, and the tragic situation in Ukraine. Performance was broadly led by gains in the energy sector, US Treasuries, and equity indices such as the Russell 2000. The system is now up +35.5% YTD and assumes a 15.0% annualised volatility. The HFRX Macro: Systematic Diversified CTA Index is up 8% YTD.

"There are many sources of data available from exchanges and vendors, enabling a huge spectrum of analytics which in turn can be used for trade signal generation," explains Moyer. "Most trading systems developed for futures markets use price or fundamental data, therefore the output may only be differentiated by nuances. Similar inputs are likely to produce a correlated set of outputs."

Moyer joined ETC last year after serving as a portfolio manager at Fort LP, a U.S.-based quant......................

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