Former UN analyst and research consultant launch market noise CTA

An former UN analyst in Geneva and a former research consultant in Luxembourg launched a CTA program built around the notion of market noise and the fractional Brownian motion theory.

Michele Cocchiglia, co-founder of Kelonia Capital Management, has a background in economics, statistics and financial mathematics, and worked most of his career as a risk management expert with the United Nations. "My responsibilities at the UN included modelling the risks and exposure of various countries to natural disasters (from floods to earthquakes and tsunamis) and providing technical assistance to national governments," he tells Opalesque. "I worked with the UN for about 12 years, including four years in Bangkok, where I was the regional coordinator of a disaster risk assessment initiative in Asia and the Pacific."

At the same time, he was also involved in the managed futures space since 2010, allocating to different CTAs through his family's structure.

In 2016, he started working with Stefan Martinek, the other founder and now the head of research at Kelonia, and asked him to review and validate some of Kelonia's original models and ideas. Martinek has more than 15 years of experience working as an independent research consultant for systematic funds and CTAs. In 2017, they decided to form a partnership and to start trading the models they employ today. "To be fair, the strategies we use at Kelonia today are largely the outcome of Stefan's proprietary research and originate from his work," he notes. "Stefan and I share similar views on what we believe are some of the greatest challenges faced by a number of managers in the CTA space. In putting this program together, our goal was to develop a product that offered some of the tail-risk hedge characteristics of conventional CTAs, but without the full expense that the strategy can sometim......................

To view our full article please login

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