Rodney Ngone

A global macro short term systematic CTA is opening its doors to investors after three years of trading. The manager says he wants to be ahead of the curve, as he believes the industry is changing to eventually become completely systematized.

SAGAT Capital is the investment manager for the Diversified Systematic Program - a short-term, systematic managed futures strategy, that has been trading for more than three years. SAGAT was co-founded by London-based CIO Rodney Ngone, a former head of BNY Mellon's European interest rates derivatives trading desk, and Chicago-based COO Maria Loukanova, an ex-Simmons & Simmons City lawyer.

The founders have been trading their own proprietary account for more than three years utilizing a methodology based around their global macro/relative value discretionary trading experience. Their investment proposal is through managed accounts and the establishment of a fund structure would be investor driven. SAGAT is authorized and regulated in the UK and registered as a CTA in the US.

The program has returned 27% from May 2011 to August 2014 (up 2.8% YTD), annualizing 7.4% with a Sharpe Ratio of 0.91. The current allocations are in metals, equity, energy, FX and grains, and the average holding period is up to 5 days.

Unlike the many CTAs that apply a bottom-up approach, SAGAT prefers the top-down approach.

"We understand and know the patterns that we are looking for from our discretionary trading experience and not just from statistics," Rodney Ngone explains to Opalesque. "We then construct our models to take advantage of the patterns we have discerned over the years that are not only statistically significant but also intuitively significant.

"When one of our models trades in the marketplace, it effectively e......................

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This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.