Lyxor Asset Management has launched the Lyxor/Tudor Momentum Fund, which replicates the trend following component of the Tudor Tensor quantitative managed futures programme.

The Lyxor managed account platform responds to investors’ key decision criteria: transparency, risk control and liquidity.

Tudor Momentum Portfolio is comprised of the four trend following systems traded in the Tudor Tensor Portfolio. Steve Evans, a Tudor managing director and partner, oversees the systems group at Tudor and is the portfolio manager for the Tudor Tensor Portfolio and Tudor Momentum Portfolio.

These systems use a variety of rules to identify trending markets across more than 70 instruments and have medium to long-term holding periods from several weeks to several months. The systems base their investment decisions on a variety of algorithms that analyse historical prices and other data to identify trends or predict future price direction. The systems will trade both long and short on a global basis futures contracts, including futures contracts on commodities, interest rates, currencies, broad-based security indices, US government securities and certain foreign government securities, and spot foreign currency contracts.