Alma Platinum IV Systematic Alpha

Investment Objective

Alma Platinum IV Systematic Alpha is a systematic strategy, which combines a core Trend Following allocation (75%) with diversifying Systematic Macro signals (25%). 

The strategy is expected to be a cornerstone CTA allocation that can provide long-term diversification for equities, bonds and other alternative investments. 

The investment objective is to achieve long term capital appreciation through compound growth by gaining exposure to global exchange-traded futures, forwards and options markets on more than 180 markets, spanning all the world’s major liquid asset classes: equities, fixed income, commodities, currencies, and credit.

Latest Meeting Note

Meeting 16 Feb 2024

The Alma Systematic Alpha (Winton Diversified Macro) strategy incorporates a blend of trend following (price based, 75%) and systematic macro (non-price based, 25%) signals. Winton identifies four principal factors that distinguish a tre... Read more

The Alma Systematic Alpha (Winton Diversified Macro) strategy incorporates a blend of trend following (price based, 75%) and systematic macro (non-price based, 25%) signals. Winton identifies four principal factors that distinguish a trend-following strategy: trading speed, universe and weights, risk management, and the inclusion of diversifying strategies. Trading speed, in particular, is deemed crucial for performance, prompting ongoing research and the use of varied model speeds to enhance strategy responsiveness and diversification benefits, especially during sharp market reversals. Understanding that market trends don’t last forever, the strategy employs inverse volatility weighting and a non-linear response function to capture profits at trend peaks, adjusting position sizes inversely to market volatility for systematic profit-taking. While trend following is designed to be the primary driver of the fund’s positioning and performance, a number of diversifying signals are traded to improve the probability of the strategy generating returns in range-bound environments and mitigating reversals. Given this, there is a 25% allocation to systematic macro signals generated from a blend of technical and fundamental inputs, such as carry, seasonality, cross-sector, and fundamental models. This segment is designed to complement the trend-following core while maintaining diversification. Prior to, and including 2020, the fund ran with a 50/50 split between the two categories of signals, with non-trend detracting significantly through the year.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.6 1.0 0.3 0.6 1.0 0.1 0.0 0.3 0.0 0.7 0.5 0.5 0.1
2022 0.6 0.5 0.6 0.9 0.2 0.7 0.4 0.8 0.4 0.6 0.9 0.4 0.2

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Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.