Dighton Dynamic Allocation MSP
Over 90% of CTAs recover from significant draw downs. This observation inspired us to develop an enticing investments strategy, which allocates dynamically to a pool of carefully selected CTAs. Precise timing of the allocations adds up to 60% additional performance. The full transparency and liquidity are achieved by investing via Managed Accounts, which differentiate us from traditional Fund of Funds. We firmly believe that our 20 years of uninterrupted Futures trading experience allow us to indentify the winners in this industry, which we may invest in with confidence. The fund aims to achieve +20% annualized performance with volatility target of 15%.
The strategy
The cornerstone of the Dighton Dynamic Allocation strategy is based on the fact that CTA’s volatility offers attractive investment opportunities. The fund delivers enhanced performance while maintaining a smooth return pattern. This is achieved by investing in up to 15 exceptional CTAs, whereby the Dynamic Allocation strategy provides incremental returns.
The fund selection procedure consists of three phases: quantitative and qualitative analysis and portfolio construction. Our proprietary quantitative model generates a first selection out of the investment universe of 1200 funds. Next, qualitative analysis is conducted to select those funds with the highest potential in terms of stability and attractiveness of the strategy.
The portfolio construction process diversifies allocations based on performance correlation and investment strategies. The quantitative model defines the optimum investment allocation pattern for each individual fund in the portfolio. This includes identifying the timing and price levels for allocation of investments. Each trading signal is personally analyzed and manually approved by a veteran investment manager.
Risk Management
Being a successful CTA ourselves, we practice the hands-on risk management principles, which empower the upside potential. The quantitative model assigns each allocation pre-defined stops and exits. The Managed Accounts structure provides maximum liquidity and transparency and facilitates real-time execution.
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