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Global Macro Strategy

  • CTA Name : Jacobson Fund Managers Limited
  • Program Name : Global Macro Strategy
  • Start Date : 2000-10-01
  • Trading Strategy
  • Systematic : -
  • Discretionary : 0%
  • Fundamental : -
  • Technical : -
  • Diversified Market Strategy : -
  • Sector Specific Strategy : Yes
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : -
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : -
  • Currencies : -
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

Jacobson Fund Managers Limited

Global Macro Strategy

There is no performance data for this program

Program Description: The Jacobson Global Macro Strategy program has been created to invest in futures contracts in respect of the major world stock indices and in G7 currency pairs with a view to achieving a market and volatility neutral portfolio with fully hedged currency exposure. The trading program consists of a portfolio strategy based on the use of the major stock indices and G7 currencies. The initial portfolio will be based on 5 stock indices and a currency index of 6 currencies against the USD. The portfolio seeks to be market and volatility neutral with respect to the net long and short index positions. Trading of the stock indices will be through exchange-traded instruments and not through index replication. The program may invest in stock exchange index futures contracts in respect of S & P 500, NASDAQ, Dow Jones Industrial Average, FTSE 100, DAX, CAC 40, SMI and such other stock exchange indices as may be agreed from time to time. The major exchanges to be used will be the Chicago Mercantile Exchange (CME) for the S & P 500 contracts, the London International Financial Futures Exchange (LIFFE) for the FTSE 100 contracts, EUREX for the German DAX and Swiss Market Index, SMI and the French Matif/Paris Bourse for the CAC 40 contracts. The daily market positions held in terms of stock indices will be based on the daily value of the individual indices such that the total market exposure on a daily basis will not exceed in gross terms twice the total amount allocated for investing in the indices. The daily price changes in the stock indices are used to determine the daily valuation of the indices. It is on this basis that the total number of stock index contracts to be bought or sold will be determined on a daily basis. The overall portfolio is to be market neutral and volatility neutral based on the net positions held each day. Daily trades will maintain the market neutral and volatility neutral position of the portfolio as a whole.

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