John Locke Investments SA

Cyril Systematic

Program Description: JLI proprietary investment program is based on the systematic application of computerized trading strategies, qualified within a quantified risk management framework. The strategies are purely technical, based on in-depth analysis of market price movements. Thorough extensive quantitative statistical research on long historical data has enabled John Locke Investments to elaborate several proprietary-trading strategies. These have produced a very high level of profitability over time. The recognition of particular price configurations (patterns formed over time by market price movements) is key to John Locke’s strategies. John Locke Investments’ systems follow the market’s price activity on a continuous basis and immediately detect any upcoming opportunity. As soon as a market configuration has been recognized, a predefined action is triggered. This generates an order in the markets with an adapted size which will depend on the market’s volatility and worst case scenarios. In order to optimize the return/risk ratio, the exposure of the Investment Program is distributed among a large scope of instruments, reflecting the main economical players from the different geographic zones. These are traded with John Locke Investments proprietary trading strategies on different time horizons. John Locke Investments’ qualified professional team cumulates 40 years of experience on futures and 30 years in systematic trading. Over these years of experience, the company has been able to create a sophisticated computer environment which provides the firm with cutting edge development tools for research and implementation. This proprietary technology platform, where sound investment programs can be designed, backtested, validated and implemented, also provides the company with advanced portfolio monitoring and risk control tools. This program integrates four dimensions of diversification and takes advantage of short-to-medium terms moves to generate most of its profits. Most CTAs captures long trend or very short term moves. Besides, John Locke Investments’ assets allocation policy relies on an equiponderation between eight different sectors out of which four are commodities related. The majority of CTAs are pure trend followers, whereas John Locke Investments has introduced a pattern recognition system amongst its four strategies. This system can trade in the direction or against the trend, and acts as a complement of a trend following system. Furthermore, this system has proven its ability to produce positive results over long periods.