IKOS Financial, a systematic global macro fund, has reported growth of 21 per cent over the first five months of the year.
The results would appear to back up IKOS's long-held view that all its strategies, including its IKOS Financial and Currency funds, are significantly different from other CTAs and hedge funds.
This approach though, is not without its own issues as the IKOS Financial strategy has proven difficult for many to categorise as any particular style within the managed futures space - an issue that serves to prove the strategy's uniqueness, says Elena Ambrosiadou, the IKOS CEO.
IKOS Financial is a multi-strategy product carrying out global asset allocation between bonds, interest rates, equities and currencies. Econometric models are combined with statistical analysis models within an integrated risk management and a fully-automated execution platform. The product is also available as a currency only option.
Non-correlation has been amply demonstrated by IKOS at the start of 2005 when all IKOS Funds returned a positive performance for five consecutive months. According to the company. the year-to-date (through April 05) comparison with recognised index benchmarks such as Calyon Financial Barclay index (-3.30 per cent through April 05) Barclay Diversified Traders index (-6.85 per cent through April 05) and Barclay Systematic Traders index (-5.80 per cent through April 05) (source:www.barclaygroup.com/indices) shows the strength and divergence of IKOS performance.
Over the same period, IKOS Financial Euro returned 20.8 per cent and IKOS Currency program with assets in excess of USD 300 million has returned 7.2 per cent. According to the Institutional Advisory Services Group (IASG) database, IKOS Financial is the highest ranked futures strategy with assets greater than USD 500 million with a year-to-date return of 10.8 per cent (as of 31st of May 2005), targeting an annualised volatility of 10 per cent.
Dr Martin Coward Founder and Partner of IKOS, says that IKOS is "highly focused, proficient and different in a selected field, namely applying the scientific method in developing strategies, which employ electronic trading and execution."