Program
Sentiment Enhanced Program
The Sentiment Enhanced Program seeks capital growth through a diversified trading program of long and short commodity and financial futures.
The models use Blackthorne’s proprietary analytics and trading software in combination with alternative data sources such as market sentiment data extracted from Twitter 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 systematically 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. Incorporating long and short holdings of highly liquid, exchange traded futures including agricultural, energy, equity index, interest rate, and metals allows for large scale diversification.
Portfolio Construction
Natural Diversification
Incorporating long and short holdings of multiple liquid futures allows for large scale program diversification.
Inclusion Criteria
Program holdings are included based on individual and portfolio risk attributes.
Risk Management
Dollar Risk Weighting
Positions are first equated for nominal market value.
Volatility Adjusted
All active positions are scaled based on their rolling historical volatility.
Portfolio Variance Minimization
Our proprietary risk optimizer calculates marginal contribution to risk to optimize position sizes based on rolling correlations across all active markets.