The economic slump and financial market turbulence of the past two years has focused the attention of investors on the benefits offered by managed futures strategies, which have not only delivered impressive performance at a time of poor – if not disastrous – returns by other asset classes and alternative strategies, but demonstrated their value in providing diversification and reducing volatility in broad-based portfolios.
Managed futures strategies have consistently demonstrated low correlation with equities as well as other hedge fund strategies, and are able to generate positive performance in both bull and bear markets.
Managed futures lends itself to quantitative strategies determined by computer algorithms. This ensures a disciplined approach that avoids the vagaries of the manager’s emotions and discretion and enables strategies to best tested against historical price data to model future movements. Using a single system to invest across a broad range of sectors and markets shows its robustness, quality and stability. By contrast, optimising systems to patterns occurring in different markets in the past can lead to substantial problems if the markets’ behaviour changes.
It was to meet demand from investors that Qbasis Fund Management launched the Qbasis Futures Fund in April 2008. The fund contains two systematic managed futures strategies that have been available separately and combined as managed accounts since 2006: Qbasis MF Trend, a trend-following strategy that represents 70 per cent of the fund’s investment, and Qbasis MF Plus, a swing-reversal strategy that seeks to capitalise on periods of market consolidation or trend reversal.
The Qbasis Invest group, which operates from the Cayman Islands, Austria and Liechtenstein and offers products domiciled and administered in Cayman, consists of Qbasis Fund Management, which is responsible for investment management, system development, risk management and compliance; Q-IT, which handles the group’s technological requirements, research and implementation of mechanical trading systems and trading support; and Systrade Asset Management, which deals with marketing and sales in Europe.
Qbasis MF Trend is a breakout trend-following strategy that trades a large and globally diversified portfolio of liquid and actively-traded exchange-traded futures, and aims to profit from medium- and long-term trends plus an additional strategy element designed to capture intra-day movements.
By contrast, Qbasis MF Plus aims to boost performance during periods where no trends are apparent and avoid losses when trends exist. Investing mainly in highly liquid stock index and interest-rate futures, it displays low correlation not only to other asset classes but to trend-following strategies. Like MF Trend, it does not trade options or any OTC derivatives, nor calendar or inter-market spreads, and it has no arbitrage or relative value aspects.
In February 2009 Systrade Asset Management launched the Liechtenstein-domiciled Sysmatic Fund of Funds, incorporating the two Qbasis managed futures strategies and strategies from other systematic managers to offer increased diversification, especially for retail and high net worth clients.
Qbasis Managed Futures manifests low correlation to traditional portfolios and to other managed futures products, but is widely diversified across stocks, bonds, currencies and liquid commodities. Its ability to profit from short- and long-term movements up or down, and even from periods without much movement, makes it a great financial product.
Florian Wagner is head of Qbasis Invest and Philipp A. Pölzl is head of legal affairs and business development