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JACOBSON FUND MANAGERS LIMITED
Market Neutral |
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- CTA Name : Jacobson Fund Managers Limited
- Program Name : Market Neutral
- Start Date : 1999-06-01
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- Trading Strategy
- Systematic : -
- Discretionary : 0%
- Fundamental : -
- Technical : -
- Diversified Market Strategy : -
- Sector Specific Strategy : Yes
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- Trade Duration
- Long-Term : -
- Mid-Term : -
- Short-Term : -
- Multi-Term : -
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- Markets Traded
- Stock Index : Yes
- Interest Rates : -
- Currencies : -
- Metals : -
- Energy : -
- Grains : -
- Meats : -
- Softs : -
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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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