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JACOBSON FUND MANAGERS LIMITED
Market Neutral

  • CTA Name : Jacobson Fund Managers Limited
  • Program Name : Market Neutral
  • Start Date : 1999-06-01
  • 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

Market Neutral


There is no performance data for this program

Program Description: A pure market neutral strategy based on zero target beta investing designed to take advantage of anomalies between related, same sector securities in a non-directional manner With a track record dating back to June 1999, Jacobson acquired the Quantics program from its original developers in early 2002, and following extensive research-based enhancement, launched the Jacobson Market Neutral strategy in May 2002. Jacobson Market Neutral is a true market neutral strategy with zero target beta investment, and is not a statistical arbitrage strategy: Jacobson Market Neutral is based on a Sector Neutral Strategy for the UK FTSE 350 and S&P500 stock indices: o Cash Neutral Sectors and Beta Neutral at Portfolio Level o TRUE Market Neutral - no long or short bias Commenced live trading in June 1999 with US Equities and extended to invest in UK FTSE 350 stocks in May 2002 Systematic sector and stock selection processes, emphasising sector risk adjusted investments Less than 5% correlation to the S&P500, -1% to the MSCI World Index and -7% to the MSCI Europe (MSCI/E) Index Jacobson Market Neutral: Identifies statistically relevant short-term volatility anomalies between broadly related stock indices and invests, on a cash neutral basis, equally in net long/short positions Exploits cyclical, mean-reverting behaviour of price and volatility spreads over variable, rolling time periods Non-directional: Offsets long and short positions Achieves b Neutral Volatility at the overall portfolio level as opposed to at an individual stock or index pair level Systematically applies rules that maintain trading robustness and ensure zero style drift - the strategy does not optimise historical data or performance, it is a true market adaptive strategy



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