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Brown Volatility System

  • CTA Name : Brown Asset Management LLC
  • Program Name : Brown Volatility System
  • Start Date : 2004-10-01
  • Trading Strategy
  • Systematic : 75%
  • Discretionary : 25%
  • Fundamental : -
  • Technical : -
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : Yes
  • Short-Term : -
  • Multi-Term : -
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : -
  • Meats : -
  • Softs : -

Brown Asset Management LLC

Brown Volatility System

There is no performance data for this program

The Brown Volatility System is a series of mathematical formulae which quantitatively analyze market opportunities using a three-filter model. The Brown Volatility System generates signals which identify optimal entry and exit points for trades to exploit inefficiencies between the volatility of targeted underlying instruments and the implied volatility suggested by their corresponding option prices. We maintain a low margin strategy by simultaneously buying and selling options we never sell naked puts or calls. Through a hedged options strategy, we quantify the potential risk and reward associated with each trade before it is initiated. Unlike other options-based funds, Brown Asset Management LLC maintains a low margin-to-equity ratio through hedging. An additional method of hedging risk is diversification. We apply the Brown Volatility System to trade in a broad range of cross-correlated global market sectors that include currencies, fixed income, energies, metals and stock futures. This affords us the ability to further hedge already hedged positions in one commodity with positions in a different, but closely correlated, commodity. Kenneth A. Brown brings over 10 years of experience in the securities industry to Brown Asset Management LLC, where he serves as its CEO and Investment Manager. In July, 2004, Mr. Brown left the New York Mercantile Exchange, where he traded options as a market-maker, to establish Brown Asset Management LLC. Mr. Brown began his trading career as a market-maker with The Timber Hill Company in 1994, upon graduating from Lehigh University with a Bachelor of Science in Mathematics. In 1996, he formed Urbro, LP, an options market-making firm, and member of the Philadelphia Stock Exchange, which specialized in index options trading. Mr. Brown created the Brown Volatility System, a proprietary method of market analysis designed to identify and exploit inefficiencies between targeted underlying instruments and the implied volatilities in their corresponding option prices.

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