Alternative Data Investment Management

Alternative data.
Absolute return.

Blackthorne Capital Management pursues capital growth through a diversified trading program of long and short positions in commodity and financial futures — pairing quantitative modelling with insights drawn from non-traditional data sources.

Absolute Return
Program Objective
Low Correlation
To Traditional Benchmarks
Highly Liquid
Exchange-Traded Futures
Team

The people behind
the models.

Blackthorne is led by veteran operators with a combined record of more than 40 years of innovation in the financial markets — spanning exchange leadership, quantitative research, and academic inquiry.

Peter J. Layton

Chief Executive Officer
Portrait of Peter J. Layton

More than forty years in the financial markets — a founding partner of Efficient Capital Management, former Chairman of the BOX Options Exchange, and CEO of the Tallgrass Group.

BOX is an automated equity options market exchange; Tallgrass is the parent company of several ecological restoration corporations.

In addition to his work with Blackthorne, BOX, Tallgrass, and Efficient Capital, Layton serves on a number of boards and committees. He is currently a board member of the Efficient Capital Management Members Advisory Committee and the College Visiting Committee at the University of Chicago, and a member of the Nicholas School Board of Visitors at Duke University.

University of Chicago — AB in Economics; MBA in Finance and Statistics.

R. Scott Morris

Chief Investment Strategist
Portrait of R. Scott Morris

More than thirty years in the financial markets, focused on developing quantitative models and automated trading strategies.

His market expertise spans many asset classes, including commodities, equities, bonds, futures, and options.

Morris has served in a number of leadership positions: CEO of the Boston Options Exchange, Managing Director at Goldman Sachs, Partner at Hull Trading Company, Head of Quantitative Research at Ronin Capital, and President of Morris Consulting.

He has taught Corporate and Entrepreneurial Finance at the University of Wisconsin–Whitewater and lectured at Carnegie Mellon, the University of Chicago, and Stanford. He has spoken at events sponsored by the Futures Industry Association, the Security Traders Association, Markets Media, OptionCity, the Options Industry Conference, and the High Frequency Traders Leadership Forum.

University of Chicago — AB in Economics; MBA in Finance and Statistics.

Dr. William L. Dougan

Head of Research
Portrait of Dr. William L. Dougan

Professor in the College of Business and Economics at the University of Wisconsin–Whitewater.

Dougan has more than twenty years of experience in teaching, consulting, and public service in the areas of venture planning and development across the software, fintech, agtech, cleantech, and manufacturing sectors.

Cornell University — Ph.D. in Business Administration.
Program

Systematic,
diversified,
data-driven.

Expertise in quantitative modelling and trading, coupled with the capacity to capture insights from alternative data sources, creates a unique opportunity to extract alpha on a global, macro level.

Alternative Data Futures Program

The Alternative Data Futures Program pursues capital growth through a diversified trading program of long and short positions in commodity and financial futures.

The models use Blackthorne's proprietary analytics and trading software in combination with alternative data sources — market sentiment extracted from various forms of social media, forecasts of economic data, activity metrics derived from industrial and consumer markets, and inventories of commodities — to identify and execute mispriced futures.

  • Absolute Return
  • Low Correlation to Benchmarks
  • Highly Liquid, Exchange Traded Futures

Managed Futures Strategy

The Blackthorne Managed Futures strategy applies a diverse set of systematic investment methods — including macro, short-term, and trend-following strategies — to exploit opportunities through the use of price-based and alternative data.

The trading Program is comprised of two different strategy types: one focuses on intra-day tactical opportunities, and the other captures multi-day momentum. Long and short holdings of highly liquid, exchange-traded futures allow for large-scale diversification across sectors.

Agricultural Energy Equity Index Interest Rate Metals
Portfolio Construction

How exposure is assembled before risk is applied.

i.

Natural Diversification

Inclusion of long and short holdings of multiple liquid futures allows for large-scale program diversification.

ii.

Inclusion Criteria

Program holdings are selected based on individual and portfolio risk attributes.

Risk Management

Program risk is managed dynamically, in four successive passes.

i.

Dollar Risk Weighting

Positions are first equated for nominal market value.

ii.

Volatility Adjusted

All active positions are scaled based on their rolling historical volatility.

iii.

Scenario Based Analysis

Positions are evaluated for catastrophic risk against extreme historical market scenarios.

iv.

Portfolio Variance Minimization

Our proprietary risk optimizer calculates marginal contributions to risk to optimize position sizes based on rolling correlations across all active markets.

Research Center

Representative
examples of
our research

Explore examples of how our analytics can contribute to our pursuit of our mission.

No. 01March 2024

Blackthorne Wins Above Replacement Portfolio (BWARP)

Inspired by Moneyball and the CWARP method developed by Christopher Cole, BWARP assesses the positive or negative impact of alternative investments on the risk-adjusted return of an existing portfolio, through the utilization of Sortino and Return to Max Drawdown ratios.

This research examines the efficacy of the CWARP metric and proposes an alternative calculation method — BWARP — which captures the proposed benefits of CWARP while increasing the reliability and interpretability of results across portfolio structures and market regimes.

Read the paper  →
No. 02May 2024

Managing Normal and Catastrophic Risk

The management of normal and catastrophic risk is an important concern for effective portfolio management. This paper describes some current methods used to manage tail risk in the futures market, and sets out a scenario-analysis approach to stress testing developed at Blackthorne Capital Management.

The approach relies on the identification of days with extreme moves in returns, and uses those return values as a basis for limiting position sizes in specific markets.

Read the paper  →
No. 03June 2024

Managing Seasonality in Agricultural Futures Markets

Agricultural futures markets differ from equity and other financial markets in important ways. One important difference is the implied seasonality in agricultural markets, precipitated by the traditional seasonality in production (Gann, 1941; Williams and Noseworthy, 1977; Grushkow and Smith, 1980; Bernstein, 1997).

This paper describes a method developed at Blackthorne Capital Management for improving the returns of strategies with exposure to the agricultural markets, by analyzing the seasonality of returns.

Read the paper  →
Qualified Investors

Private materials,
on request.

Detailed program information, performance reporting, and offering documents are reserved for certified and qualified investors. Access is granted following verification.

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Contact

Get in touch.

For allocation enquiries, research requests, or media, write to us directly.

Contact Information
1221 Innovation Dr. #225
Whitewater, WI 53190
By Email
contact@blackthorne.com