The DELTA program is a specialized intermediate to long term systematic trend following program which seeks profit from the inevitable directional movements in one of the most liquid equity markets in the world. DELTA profits from trending conditions by trading both long and short and seeks to eliminate the negative price shocks that damage the vast majority of equity portfolios. With similar efficiency DELTA minimizes drawdowns in sideways markets by legging in and out of positions more methodically serving to minimize false starts and flatten returns until new trends eventually develop. The DELTA program seeks annual returns only moderately greater than the broad market but with drastically reduced negative return volatility and drawdown exposure.
DELTA was designed to provide an alternative to the core buy-and-hold portion of investor capital allocated to US equities. The program focuses not on absolute returns but rather on systematically limiting damage to the traditional buy-and-hold portfolio inevitably caused by periodic event-driven negative price moves. DELTA generally follows the benchmark quite closely unless and until a significant sell-off occurs, at which point the allocated assets are moved to cash or another risk-free equivalent until the benchmark drawdown has corrected and the upward trend has resumed. What makes DELTA unique compared to more typical long-only trend-following programs is that historical improvement in compound annual returns and standard deviation of returns over the benchmark is achieved through drawdown mitigation and not through adding alpha to the underlying during positive periods. For this reason, the program is best utilized in concert with other programs specifically designed to add alpha while DELTA protects core assets from drawdown exposure. Artificial Intelligence (AI) implements the strategy entry, exit and risk management triggers with an unbiased investment approach that avoids the common human mistakes that stem from hope, fear and greed.
Managed by Robert Ogilvie
Product: CME Index S&P eMini Futures Contracts.
Methods Used: Strategy - Long/Short Futures.
Minimum Account Increment: $200,000
Strategy Licensing Fees: $2,000/Year Per $200,000