New systematic strategy managed alongside research firm outperforms S&P500 Peter Turk

An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm.

Peter Turk is head of Turk Capital, LLC, a CTA based in Summit, NJ, formed in 2014 and registered with the CFTC and the SEC. Before forming Turk Capital, he was portfolio manager at Silva Capital Management, and earlier held managerial roles at State Street Bank, Stifel Financial Corp, Merrill Lynch and JPMorgan Chase.

The Turk Capital U.S. Equity Long Short Strategy is a systematic managed futures program offered by an exclusive partnership between Turk Capital and TrimTabs Investment Research, Inc. The strategy is offered via separately managed futures accounts as well as separately managed equity accounts. Since its May 2014 inception, it has returned 18.90% (through to May) vs. 14.33% for the S&P500.

Trading is based solely on the trading signals generated by the TrimTabs Demand Index (TTDI). The TTDI is a proprietary regression model that uses 21 public and proprietary flow and sentiment variables for market timing. These variables are normalized into scores in order to create the TTDI and to generate signals for the strategy. TrimTabs Investment Research is a Sausalito, CA-located independent institutional research firm founded in 1990, focused on equity market liquidity.

Partnership

"The demand index, which is what our strategy is based on, has been published daily since September 2008 and has had a very impressive paper trading performance between September 2008 and April of 2014 when we start putting actual capital invested in it," Turk tells Opalesque.

Before he became partner with TrimTabs, he was a portfolio manager and was purchasing the research; "I recognized the ......................

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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.