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Equity Index Plus

  • CTA Name : SARRIS
  • Program Name : Equity Index Plus
  • Start Date : 1997-09-01
  • Trading Strategy
  • Systematic : -
  • Discretionary : 0%
  • Fundamental : Yes
  • Technical : Yes
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : Yes
  • Meats : Yes
  • Softs : Yes


Equity Index Plus

There is no performance data for this program

Program Description: The Equity Index Plus Program invests in an equity index futures contract and systematically hedges its exposure using several quantitative techniques. It uses a hedging strategy in an attempt to reduce risk, a long/short global asset overly technique to reduce correlation, and a cash management strategy to enhance total returns. The US dollar program creates its exposure using the S&P 500 stock index futures contract. Overlay hedging with futures and options is employed to reduce volatility, particularly during periods of intense selling pressure. A global asset component is included to further reduce volatility, thereby lowering the portfolio's beta. The Program's efficiency (returns divided by standard deviation of returns) should exceed that of the stock market. In total, the strategy is designed to track an equity benchmark while producing competitive returns, increased stability, positive alpha, and a defensive characteristic.

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