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Global Multi-Strategy Program

  • CTA Name : SARRIS
  • Program Name : Global Multi-Strategy Program
  • Start Date : 1994-11-01
  • 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


Global Multi-Strategy Program

There is no performance data for this program

Program Description: RXR's Global Multi-Strategy Program is comprised of three components: hedged global equity, hedged global fixed income and long/short global assets. It expands on the traditional concept of diversification by including international stocks, bonds, currencies, and non-financial assets such as metals and energy products. The hedged global equity component holds positions in FTSE 100, DAX, Nikkei 225, and S&P 500 futures indices. The hedged global fixed income exposure is allocated to Gilt, Bund, Japanese and US Treasury futures. The Program uses a multi-factor model to rebalance the independent strategies. The global stock and bond exposure is managed using models which interpret macro-economic, relative value, inflation, interest rate and price-related data. Exposure within the long/short global asset component (or Diversified Trading Program) is regulated by combining individual market expected return analysis with a system that asset weights each market according to relative volatility and correlation. These components are similar to those previously discussed in the Multi-Strategy Program; however, the markets traded and the degree of leverage applied to each component differ from the Multi-Strategy Program. When combined, the Advisor believes that these non-correlated techniques are capable of producing absolute returns in any economic environment.

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