IKOS, the London-based hedge fund manager, has seen assets in its Financial strategy grow more than 200 per cent in the last three months.
In a statement, IKOS noted: "2002 was a good year for the strategy, this year continues to go well, with returns already over +11 YTD per cent."
Dr Sam Gover, the portfolio manager for the IKOS Financial strategy, said: "We run our strategy with a fairly conservative risk target of 10-12 per cent unlike typical macro players or CTAs, but for investors with a larger risk appetite we can run more aggressive custom portfolios. The diversified approach, both by model and timescale, also helps reduce risk without bringing down returns."
Assets in the IKOS financial products are nearing the US$100 million mark. According to IKOS, growth has come both from investors' renewed interest in managed futures and global macro strategies and from IKOS' traditional investor base.
Dr Gover said: "The move towards more open markets and electronic trading in futures and currencies has created a lot of new opportunities for our style of trading, and investors have realised that this approach can work across many different marketplaces."
The strategy has been trading at IKOS since April 1996 and it shares the same philosophy and trading style that IKOS currently employs in its better known equity statistical arbitrage funds. Trading decisions are based on many different types of forecasting models. The approach uses automated trading where appropriate, and leads to low correlation with other managers within the style.
Elena Ambrosiadou, CEO at IKOS, said: "Fund management is not just about managing the risk in the markets but also about managing the technology evolution. There has been a marked transition of the financial derivative markets to becoming increasingly electronic."
She added: " The IKOS Financial strategy employs a systematic, quantitative, multi-model, macro style approach to trade currencies, interest rates, bonds and stock indices. Emerging markets are not traded due to their inherent political risks and liquidity constraints. IKOS is known for its automated portfolio construction, trading and risk control in electronic markets".
Background Note: IKOS currently manages just over US$500m and has recently completed 10 years. IKOS is regulated by the FSA and is a NFA-registered CTA/CPO and a member of AIMA and the MFA.