Early-stage seeding specialist IMQ has seeded a new systematic trading strategy, the Persistence Program, from Romanesco Capital Management.
The Romanesco strategy will be available via the Deutsche Bank dbSelect managed investment platform, which has been subject to an ISAE 3402 assurance audit. The high-quality institutional controls and other efficiencies offered by dbSelect can assist in reducing operational risk and help to enhance the attractiveness of new managers to all investors.
Romanesco’s portfolio is broadly diversified across 45 liquid futures markets comprising currencies, bonds, equity indices, and commodities that are implemented across the different geographical regions on a 24-hour basis with the help of a proprietary developed automated execution algorithm. The algorithmic models look for break-outs from trading ranges, and aim to reduce exposure after spikes in volatility.
The trading models can be long, short or flat in each market. As such, Romanesco is more selective than most CTAs in deciding when to be exposed to particular markets.
Jeroen Tielman (pictured), IMQ’s chief executive and founder, says: “The strategy fits into our portfolio as it is not correlated with equity and adds diversification versus existing IMQ managers. This is the first seed deal where we will apply high definition open line technology to implement a ‘virtual co-location’ so that the team can stay where they are. This will not conflict with our basic principle of close guiding and monitoring."
